Full sample with structural breaks
Uncovered Interest Parity in Central and Eastern Europe: Sample, Expectations and Structural Breaks
... the sample considers the CEE countries with a floating exchange rate during a decade in which the world economy was affected by numerous ...for structural breaks and determine these ...
20
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks
... Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many ...
42
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks
... for breaks in the parameters and/or error variances and only use data after the most recent break, assuming a break is in fact ...First, breaks in the autoregressive parameters need not introduce bias in ...
44
Learning, Forecasting and Structural Breaks
... on structural breaks focuses on ex post identification of break points that may have occurred in the ...the sample are generated as a byproduct of our ...
29
Structural breaks in time series
... for structural changes, and methods to deter- mine the number of changes ...common breaks, models with endogenous regressors (emphasizing that simply using least-squares is preferable over instrumental ...
39
Learning, Forecasting and Structural Breaks
... for breaks in every submodel ...infrequent breaks to ...for breaks in only a subset of submodel parameters: unless the posteriors for the stable and unstable parameters are independent, revisions in ...
42
Testing the Null of Cointegration with Structural Breaks
... Using this speci…cation we have analysed the …nite sample performance of our proposal in two stages. First, we focus on the situation that the break point is assumed to be known. Second, we address the estimation ...
28
Volatility Prediction: A Study with Structural Breaks
... We observe that this decrease in volatility persistence is smooth for CARR-B model. We observe an abrupt decrease in volatility persistence for the GARCH-B model. The results based on out-of-sample volatility ...
14
Monitoring Business Cycles with Structural Breaks
... the sample size, we give to the standard probit model 1 the advantage of a prior centered at its maximum likelihood ...no breaks, and no autoregressive ...this sample still allows for the possibility ...
28
Structural Breaks - An Instrumental Variable Approach
... 5 Comparing Estimators of Change Since the Ploberger & Kramer test did not specify a precise alternative model, it is not clear what ought to be estimated without further consideration. However, for consistency with ...
26
Structural breaks, cointegration and the Fisher effect
... Figure 1 depicts the nominal interest rates, the CPI-based inflation rates and the ex-post real interest rates for all 15 countries over the available sample periods. We also show the average over all countries for ...
33
Structural Breaks and the Demand for Money in Fiji
... A limited number of previous studies on the demand for money in Fiji are Luckett (1987), Joyson (1997), Jayaraman and Ward (2000), Katafono (2001), Rao and Singh (2005a) and more recently Singh and Kumar (2006a and ...
15
Granger-Causality in the presence of structural breaks
... The concept of Granger-Causality (GC) is widely used to draw inference concerning causality in applied economics. Stationary series are the term of reference used in GC testing, which is generally studied by means of a ...
14
Monitoring Business Cycles with Structural Breaks
... Based on the seminal work of Burns and Mitchell (1946), the NBER Business Cycle Dating Committee considers four main monthly indicators in determining business cycle chronology: industrial production (Production), real ...
28
City Price Convergence in Turkey with Structural Breaks
... observe full sample from its initial to the end points by including dummy variables for breaks, then first chooses optimal lag length for each break and, later, find the optimal breaks ...
9
City price convergence in Turkey with structural breaks
... observe full sample from its initial to the end points by including dummy variables for breaks, then first chooses optimal lag length for each break and, later, find the optimal breaks ...
18
City price convergence in Turkey with structural breaks
... observe full sample from its initial to the end points by including dummy variables for breaks, then first chooses optimal lag length for each break and, later, find the optimal breaks ...
18
Cointegration, structural breaks and the demand for money in Bangladesh
... with structural breaks is tested against the alternative of cointegration by the Gregory and Hansen ...a structural break during the sample ...with structural breaks, are as ...
19
A multivariate long-memory model with structural breaks
... 9T/10 – 1 and 9T/10. Table 1 reports the percentage of cases corresponding to the minimum RSS. In order to save space we only display cases with a probability higher than 0.01. It can be seen that all such probabilities ...
25
A Multivariate Long-Memory Model with Structural Breaks
... 9T/10 – 1 and 9T/10. Table 1 reports the percentage of cases corresponding to the minimum RSS. In order to save space we only display cases with a probability higher than 0.01. It can be seen that all such probabilities ...
25