Sequential moving sums of squares of OLS residuals in parameter stability testing

Westlund, Anders

doi:10.1007/bf00156459

Cited by 6 publications

(2 citation statements)

References 5 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…where yt is the observation on the dependent variable, xt is a (k x 1) vector of fixed observations on the independent variables, ut is a stochastic disturbance, and fit is (k x 1) vector of parameters, which may, or may not, vary with time (Westlund, 1982).…”

Section: The Methodologymentioning

confidence: 99%

“…The MOSUM-SQ statistic based on OLS-residuals is defined as: (G;OLS t2' A~* R u' g' A~* M u j=l ..... T-G+ 1, where M=(IT--X(X'X )-1 X'), X=(x I ..... xr)', c=(T-k-G)/G and G denotes the fixed number of terms included in the numerator of (9), where Oj--I Oj-1/a OG+j-I/'T-G-j+I (lO) Aj = OG/j-1 IG [ 1_ OT-G-j+ l/G +j-1 OT-G-j+ l j=l ..... T-G+I. and (11) A~*=Ir-A~;j=I ..... T-G+I, as ~=M y=M u, where Y=(Yl ..... Yr)'.We first notice the following relation between MQ(G;OLS)j and the test statistic s~, introduced inWestlund (1982).…”

mentioning

confidence: 99%

See 1 more Smart Citation

Choice and constraint in budget-making

Lane

Westlund

1987

Theor Decis

Self Cite

View full text Add to dashboard Cite

A theory of the budgetary process within public resource allocation has to recognize that decision rules may vary over time and program. Our findings based on a net. econometric approach indicate that various different decision mechanisms operate in different categories of public resource allocation. Variation over time is particularly difficult to accommodate within the incrementalist approach as incremental decision rules imply structural stability over time. We find the opposite to be true of the programs analysed.A model of the public expenditure process has to take choice into account to a larger extent. The attempt to make budget-making a function of constraints violates the occurrence of shiftpoints that is typical of the data. The existence of a base and the resort to mechanical rules for the derivation of the yearly increments implies a deterministic interpretatior~ of budgetary behavior. Budgets are made in choice processes where the principal actors employ various decision rules meaning that budget-making is more voluntaristic than deterministic. The choice rules employed for the derivation of requests and appropriations are not mechanistic decision rules.

show abstract

Section: The Methodologymentioning

confidence: 99%

mentioning

confidence: 99%