Mittnik, S., Rachev, S. T., and Samorodnitsky, G. (1998). Testing for Structural Breaks in Time Series Regressions with Heavy-tailed Distur- bances. Technical report, Department of Statistics and Mathematical Economics, University of Karlsruhe....
"Testing for Structural Breaks in the Evaluation of Programs." The Review of Economics and Statistics 85 (3): 550-58.Piehl, Anne M., Cooper, Suzanne J., Braga, Anthony A., and David M. Kennedy, "Testing for Structural Breaks in the Evaluation of Programs," The Review of Economics and...
Structural breaks in 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 popul... Alexander,Aue,Lajos,... - 《Journal of Time》 被引量: 251发表: 2013年 Testing for Smooth Struc...
xtbreak: Estimation of and testing for structural breaks in Stata US Stata Conference 2021 Jan Ditzen1, Yiannis Karavias2, Joakim Westerlund3 1Free University of Bozen-Bolzano, Bozen, Italy www.jan.ditzen.net, jan.ditzen@unibz.it 2University of Birmingham, UK https://sites.google.com/site...
(2012) Testing for Smooth Structural Changes in Time Series Models via Nonpara- metric Regression. Econometrica 80, 1157-1183.Chen, B., and Y. Hong (2012): "Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression", Econometrica, 80, 1157-1183....
Testing for structural breaks in the Korean economy 1980-2005: an application of the innovational outlier and additive outlier models This paper employs quarterly time series data to endogenously determine the timing of structural breaks for various macroeconomic variables in Korean econo... C Harvie,...
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the f... P Kokoszka,T Kutta,N Mohammadi,... 被引量: 0发表: 2024年 A Note on Adaptive Group Lasso for Structural Break Time Series Conside...
time series EDIRC Provider-Institution: RePEc:edi:smlatauThe study considers the ADF and KPSS tests for unit root testing in a time series characterized by a number of structural changes in its mean. Using the Monte Carlo simulation method the percentage points of the tests distributions are ...
I argue that in order to test for the effect of the foundation of the Federal Reserve on the behavior of short-term interest rates, extending the sample size on either side of the interval 1908–1918 will generate spurious results. Mankiw, Miron and Weil (1987, 1994) do not address data...
Testing the Null of Stationarity in the Presence of Structural Breaks for Multiple Time Series This paper introduces various consistent tests for the null hypothesis of stationarity with possibly unknown multiple structural break points against the a... R Taylor,BC Ahn 被引量: 0发表: 2015年 Two ...