Structural breaks in time series 本文介绍了有关时间序列模型中结构性断裂的最新工作。尤其是,我们展示了如何修改基于流行的累积和 CUSUM 统计的程序,使其也可以用于表现出序列依赖性的数据。涵盖了无条件均值和条件均值以及方差和协方差/相关结构的结构性断裂。CUSUM过程在设计上是非参数的。如果数据允许进行参数化建...
(2013), "Structural Breaks in Time Series," Journal of Time Series Analysis, 34, 1-16.Aue, A.; Horvath, L. Structural breaks in time series. J. Time Ser. Anal. 2013, 34, 1-16.Aue, Alexander, and Lajos Horvath. 2012. Structural breaks in time series. Journal of Time Series ...
This paper gives an account of some of the recent work on structural breaks in time series models. In particular, we show how procedures based on the popular cumulative sum, CUSUM, statistics can be modified to work also for data exhibiting serial dependence. Both structural breaks in the unco...
The test rejects the null hypothesis of no structural break and detects a break in the fourth month of 2013. We can also perform a test for more than one structural break if we have ex-ante information about when the breaks might be. It's artificial, but let's use these same data and...
Military expenditures and economic growth: allowing structural breaks in time series analysis in the case of India and Pakistan This paper investigates the long run relationship between military expenditures and economic growth in case of Pakistan and India using ARDL bounds testing... A Jalil,HK Nad...
estimating and testing for many known and unknown structural breaks in time series and panel data. 1. Syntax Testing for known structural breaks: Testing for unknown structural breaks: General Options Options for unknown breakdates Options for testing with unknown breakdates and hypothesis(2) ...
In this paper we consider a regression model with errors that are martingale differences. This modeling includes the regression of both independent and time series data. The aim is to study the appearance of structural breaks in both the mean and the variance functions, assuming that such breaks...
One novelty of the paper is that it permits the presence of structural breaks that affect both the level and the slope of the time series. 一个新颖的文件,它允许存在的时间,从而影响到结构的水平和斜坡的时间序列。 www.syyxw.com 5. Important events can cause structural breaks of volatility in ...
Unemployment hysteresis in OECD countries: Centurial time series evidence with structural breaks 来自 EconPapers 喜欢 0 阅读量: 77 作者:CC Lee,CP Chang 摘要: This paper re-examines the hypothesis of unemployment hysteresis in which the endogenously determined break points are incorporated in 14 major...
Managing structural breaks is vital to enhancing the accuracy of estimators in a time-series analysis. Several existing studies on beef price co-movement considered structural breaks in their model estimations (Bakucs and Fertö,2009; Chang and Griffith,1998; Fousekis et al.,2016; Hernandez-Villa...