A Switching Regression Model with Different Change-Points for Individual Coefficients and Its Application to the Energy Demand Equations for Japan

Toshihisa Toyoda and Kazuhiro Ohtani

Empirical Economics, 1989, vol. 14, issue 2, 93-103

Abstract: In this paper, we set up a switching regression model in which individual coefficients are allowed to shift at different change-points. We also apply it to the energy demand equations and examine structural change in the demands for total fuel oil and for light oil and kerosene at the second oil crisis. It is shown that assuming the different change-points for individual coefficients yields more plausible results than assuming the same change-point for all coefficients.

Date: 1989
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