Chaturvedi (2009), "Bayesian Unit Root Test for Time Series Models with Structural Break in Variance" IMST-FIM XVIII, Jaypee University of Information Technology, Waknaghat, Distt. Solan, Himanchal Pradesh.Chaturvedi, A. and Jitendra Kumar (2007), Bayesian Unit Root Test for Time Series ...
real-timemonitoringThis paper proposes a monitoring cumulative sum of squares (CUSQ)-type test for structural breaks in real time via an autoregressive (AR) approximation framework where data generating process (DGP) is a long memory process. The limiting distribution of the monitoring test follows...
This paper develops a simple confidence interval test around the first difference of time series data to identify a structural break over time. Simulations show the robustness of the test. We also apply the test to the popular debate on the adoption of inflation targeting in New Zealand. Using...
We have a simple model for unemployment. The model is that unemployment is a function of its lagged value. After we fit our model, we test for a structural break. We have four series of unemployment, one for each Census region of the U.S. Those regions are West, South, New England,...
A scalar containing the number of break points (nbre).ConclusionIdentifying structural breaks in the variance of data is an important step in modeling time series data. In this tutorial we've covered:What the ICSS algorithm is. How to use the ICSS algorithm in GAUSS.Code...
We have a simple model for unemployment. The model is that unemployment is a function of its lagged value. After we fit our model, we test for a structural break. We have four series of unemployment, one for each Census region of the U.S. Those regions are West, South, New England...
7. Which of the following statements are true concerning time-series forecasting? (i) All time-series forecasting methods are essentially extrapolative. (ii) Forecasting models are prone to perform poorly following a structural break in a series. ...
The aim of this paper is to identify the timing of major structural breaks in the Lebanese economy by applying the Zivot and Andrews (ZA) (1992) procedure, using annual time series data spanning the years from 1970 through 2003. The empirical results from the ZA model, which endogenously ...
7.Which of the following statements are true concerning time-series forecasting? (i) All time-series forecasting methods are essentially extrapolative. (ii) Forecasting models are prone to perform poorly following a structural break in a series. ...
Bootstrap test for a structural break under possible heteroscedasticityIn this article, we consider the Wald test statistAkio NambaCommunications in statistics, B. Simulation and computation