The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity
综述了过去十五年间结构变化计量经济学的三大创新(未知时点断点检验、断点时点估计、单位根与断点趋势区分),并通过美国制造业/耐用品部门劳动生产率的实证分析展示其应用。
We have seen the emergence of three major innovations in the econometrics of structural change in the past fifteen years: (1) tests for a structural break of unknown timing; (2) estimation of the timing of a structural break; and (3) tests to distinguish unit roots from broken time trends. These three innovations have dramatically altered the face of applied time series econometrics. In this paper, we review these three innovations, and illustrate their application through an empirical assessment of U.S. labor productivity in the manufacturing/durables sector.