Bruce E. Hansen
"The New Econometrics of Structural Change: Dating Changes in U.S. Labor Productivity"
Journal of Economic Perspectives, (2001), 15, 117-128.
Current Revision: May 2001
We have seen the emergence of three major innovations in the econometrics of structural change in the past fifteen years:
First Version: January 2001
(1) Tests for a structural break of unknown timing;
(2) Estimation of the timing of a structural break;
(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.
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Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.