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Retrospective analysis of structural changes in SEM (simultaneous equation) models with varying structure. Part 1
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Retrospective analysis of structural changes in SEM (simultaneous equation) models with varying structure. Part 1
Annotation
PII
S042473880000013-3-1
DOI
10.7868/s042473881802005x
Publication type
Article
Status
Published
Authors
Sergey Aivazian 
Occupation: scientific director of the scientific direction of CEMI RAS
Affiliation: CEMI RAS
Address: Russian Federation, Moscow Nakhimovskiy prospect, 7-2-166
Boris Brodsky
Occupation: Chief researcher CEMI RAS, Econometrics, and Applied Statistics Dept.
Affiliation: CEMI RAS
Address: Russian Federation, Moscow, Nakhimovskiy prospect, 7 -2-166
Edition
Volume 54 Issue 2
Pages
62-70
Abstract
This article is devoted to the study of the problem of retrospective analysis of structural changes in SEM (simultaneous equation) models with varying structure. We consider main assumptions about statistical dependence of observations: strong mixing and Y-weak dependence conditions, as well as the main criteris for effectiveness of a method of retrospective analysis. A new nonparametric method of retrospective detection of structural changes is proposed which does nor require knowledge about distributuinal laws of data and its statistical properties are studied. We formulate theorems about convergence to zero of type 1 and type 3 error probabuilities for the proposed method with an increasing sample size. Results of the simulation sudy of the proposed method are given in the second part of the paper. Unlike earlier published papers, this article considers the problem of macroeconometric modeling with account of structural changes in data. Here we consider the method for the retrospective detection of multiple structural changes in data, simulation study of this method, as well as applications to the problems of macroeconometric modeling with account of structural changes in data. In particular, we consider the macromodel of the USA economy proposed by L. Klein (the structural change in the year 1929 is detected) and the disaggregated model of the Russian economy (quarterly data in 1995–2016s). Here we detect two instants of structural changes in 2002 and 2010. Results of the simulation study wittness about the fact that the proposed method can effectively detect structural chsnges in SEM models.
Keywords
model, econometric analysis, retropective method, structural change, type 1 error, type 2 error
Acknowledgment
This study was supported by the Russian Foundation for Basic Research (project 15-01-03359).
Received
09.10.2017
Date of publication
29.06.2018
Number of purchasers
14
Views
2114
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References

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