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| Author: | Hall, S. G. |
| Title: | Modelling structural change using the Kalman Filter |
| Journal: | Economics of Planning
1993 : No. 26. p. 1-13 |
| Index terms: | MACROECONOMIC MODELS STRUCTURAL CHANGE ECONOMETRICS ECONOMETRIC MODELS |
| Language: | eng |
| Abstract: | This paper explores the consequences of endemic structural change for econometric modelling by considering the model reduction problem when the data generation process is itself undergoing structural change. The resultant econometric model will generally exhibit time varying parmameters where much of the structural change is reflected in the changing parameters. The paper illustrates these ideas by modelling the determination of the black market exchange rate in Poland over the period from the mid 1970s to the early 1990s. |
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