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 E
//sites.google.com/site/yianniskaravias/ i.karavias@bham.ac.uk 3Lund University, Lund, Sweden June 25, 2021 Motivation Econometric Model Test for multiple structural breaks Stata Syntax Examples Conclusion Motivation In time series or panel time series structural breaks (or change points) in the...
`Testing for structural breaks in the evaluation of programs', Review of Economics and Statistics, 85(3): 550-558.Piehl, Anne, Suzanne Cooper, Anthony Braga and David Kennedy, 2003, "Testing for Structural Breaks in the Evaluation of Programs," Review of Economics and Statistics 85(3): 550...
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 for structural breaks in the presence of data perturbations: impacts and wavelet-based improvements: Journal of Statistical Computation and Simulation: Vol 85, No 17doi:10.1080/00949655.2014.979824structural breaksmeasurement erroradditive outlierwavelet transform...
Testing for a unit root in ERM exchange rates in the presence of structural breaks: evidence from the bootstrap. Applied Economics 5: 407-410.Kanas, A., 1998. Testing for a unit root in ERM exchange rates in the presence of structural breaks: evidence from the boot-strap. Applied ...
More evidence of stochastic convergence exists when allowing for structural breaks using the two-break minimum LM unit root of Lee and Strazicich (2003). The results show greater evidence of convergence within Central America than within South America. Dominican Republic is the only country that ...
Testing for short and long-run asymmetric responses and structural breaks in the retail gasoline supply chain Energy Economics Volume 83, September 2019, Pages 311-318 Purchase options CorporateFor R&D professionals working in corporate organizations. Academic and personalFor academic or personal use only...
in correlations and in the probability for joint extremes. However, we identified structural breaks in commodity markets that temporarily led to a breakdown of expected statistical patterns and of traditional dependence structures among commodities. This fact shows the need for forward-looking stress ...
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 ...