(2013). Structural breaks in time series. Journal of Time Series Analysis, 34 1-16.Aue, A., Horváth, L.: Stuctural breaks in time series. J. Time Ser. Anal. 34 , 1–16 (2013) MATHAue, A., Horváth, L.: Structural breaks in time series. J. Time Ser. Anal. 23 , 1–16 (...
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...
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...
This paper reviews the literature on structural breaks in financial time series. The second section discusses the implications of structural breaks in financial time series for statistical inference purposes. In the third section we discuss change-point tests in financial time series, including historical...
In this paper, we introduce non-stationary integer-valued autoregressive (INAR) models with structural breaks to model a situation, where the parameters of the INAR process do not remain constant over time. Such models are useful while modelling count data time series with structural breaks. The...
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...
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 ...
When considering multiple structural breaks in a time series, Bai and Perron (1995) consider a multiple linear regression model with the following m partitions:(5)[Au1=x1'β+z1'δ1+ε1⋮AuT=xT'β+zT'δm+1+εT] Equation (5) can be presented as a vector representation of the linear...
Antoch, J., J. Hanousek, L. Horvath, M. Huskova, and S. Wang. 2019. Structural breaks in panel data: Large number of panels and short length time series.Econometric Reviews38: 828–855. ArticleGoogle Scholar Arellano, M., and Bond, S. 1991. Some Tests of Specification for Panel Dat...
NON-STATIONARY TIME SERIES AND UNIT ROOT TESTING非平稳时间序列的单位根检验 热度: x12季节调整与单位根检验 热度: 周期异方差时间序列的季节单位根检验论文 热度: 相关推荐 SeasonalUnitRootTestsUnderStructuralBreaks ∗ UweHassler FreeUniversityofBerlin InstituteofStatisticsandEconometrics Boltzmannstr.20 D...