Structural change analysis and forecasting of time series data in three empirical applications

This dissertation consists of three Applied Econometrics essays (chapters) linked together through the theme of structural change (change point) analysis and forecasting of time series data.; The first chapter is a change point analysis of the impact of "Environmental Federalism" on aggregate air quality in the United States. At the beginning of his Administration, President Reagan moved the primary responsibility for environmental policymaking from the Federal to the State and local levels, a shift called "Environmental Federalism." This chapter uses techniques proposed by Bai (1997a, 1997b) to determine air pollution series change points and to determine if the Reagan devolution led to a "race to the bottom" in environmental policymaking. We find that the change points in all six principal air pollutant series occurred before the Reagan devolution and in the close proximity of the Federal Clean Air Act of 1970 that established the Environmental Protection Agency (EPA). Although downward trends in pollution emissions apparently began when environmental policymaking was largely under Federal control, it appears that the Reagan decentralization has done no harm because our change point analysis indicates that no further changes in trend occurred after Reagan's policy shift.; The second chapter is a forecast evaluation of a popular stock market valuation model used by the Value Line Corporation, the Value Line Dow Jones Stock Valuation Model (VLDJ Model). This three-variable multiple regression model is a static time series model and therefore the accuracy of the model will depend on the accuracy of the forecasts of the independent variables. This chapter examines the predictive content of the VLDJ Model, which is essentially a Transfer Function model with analyst forecasts for the leading indicators.; The third chapter examines the potential cointegration relationship between the stock market yield and the bond interest rate indicated in the Federal Reserve Board's Stock Market Valuation Model (the FED Model) and evaluates the forecast performance of the FED Model on monthly stock returns. (Abstract shortened by UMI.)...