structural break
Detecting the Presence of Informed Price Trading Via Structural Break Tests
... The aim of this article is twofold. First, we propose a novel method to detect informed price movements via structural break tests for the intercept of LRMs. These tests are based on the use of a U ...
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Structural break, stability and demand for money in India
... This paper attempts to take a meticulous look on stability of money demand in India Using annual data for period 1953-2007 and the Hansen (1992) and Gregory Hansen (1996) co-integration approaches with structural ...
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REMITTANCES INFLOW AND FINANCIAL SECTOR DEVELOPMENT IN NIGERIA: A STRUCTURAL BREAK APPROACH
... The study investigated the impact of international remittances on the financial sector development in Nigeria. Considering the serious financial sector recapitalisation exercise in 2004, we employed the structural ...
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Investigating Structural break GARCH based Unit root test in US exchange rates
... As a contribution to the newly proposed structural break-GARCH-based unit root tests, we subject the tests to more scrutiny on exchange rate data. Exchange rate series are often plagued with serious ...
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Australasian money demand stability: Application of structural break tests
... Interest rate targeting is a monetary policy framework employed in Australia and New Zealand to stabilize inflation, and such policy selection may be based on either the Taylor rule or a belief that money demand ...
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Structural Break, Nonlinearity, and Asymmetry: A re examination of PPP proposition
... significant structural changes in the ...gradual break in the mean and/or slope of the series and adjustment towards the attractor have asymmetric ESTAR-type ...no structural break, ...
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Australasian money demand stability: Application of structural break tests
... structural break tests should only be used when standard methods fail to yield robust ...be structural breaks present in the M1 relationships for both countries and therefore our application of the ...
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Testing for long memory in ISE using Arfima Figarch model and structural break test
... the structural break test in variance and ARFIMA-FIGARCH ...model. Structural break test provides 4 break points on the return ...the break dates, the return series is filtered ...
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Analysis of Income Convergence in G-20 Countries with Structural Break Unit Root Test
... one structural break is LM unit root test depended on two models as fixed (Model A) and trend (Model ...of structural break permits a level break under alternative ...
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A new structural break model with application to Canadian inflation forecasting
... a structural break, the new parameters are drawn independently from the hierarchical ...the break dynamics including having breaks in the variance, the regression coefficients or both are nested in ...
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Determinants of Money Demand for India in Presence of Structural Break: An Empirical Analysis
... This paper empirically analyses India’s money demand function during the period 1996 to 2013 using quarterly data. Cointegration test suggests that money demand represented by M1 and Interest Rate have a unit root, ...
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Macroeconomic Variables and Stock Market Performance: Testing for Dynamic Linkages with a Known Structural Break
... a structural change at known date without a trend ...of structural break; however, as reported by the well-known econometrics literature, the relationship between economic variables is significantly ...
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Government expenditure revenue nexus reconsidered for Nigeria: Does structural break matter?
... two/one structural breaks in intercept and slope to ascertain the stationarity of the ...without structural breaks was conducted to determine the direction of causality between the government expenditure ...
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Asymmetric Response in Foreign Exchange Volatility under Structural Break
... Now the study will test for the presence of structural break in the Indian foreign exchange market over the chosen period and the breakpoints, if any will be identified. Finally the data will be modeled ...
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A Comparison of Forecasting Procedures for Macroeconomic Series : The Contribution of Structural Break Models
... In this paper we focus on PPT and KP as two representative examples of models which address the issues which arise when forecasting subject to structural breaks. Such forecasting models can differ in three ...
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Real Time Nowcasting Nominal GDP Under Structural Break
... a break show some increases during periods that have been discussed in previous literature as potential permanent breaks such as in 1970-1971 (productivity slowdown), 1975 (oil crisis), and 1982 (end of Great ...
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Purchasing Power Parity in the Euro Area: Evidence from Structural Break LM Test
... the break points of the LM unit root test were determined endogenously, there is no false refusals in the case of breaks and unit root ...the break magnitude increase, the rate of correct prediction of the ...
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Is energy consumption effective to spur economic growth in Pakistan? new evidence from bounds test to level relationships and Granger causality tests
... (1998) structural break unit root test for stationarity properties of the variables; (ii) ARDL bound testing approach to cointegration for long run relationship; (iii) Gregory and Hansen (1990) ...
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Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables
... or structural break VAR models such as Jochmann, Koop and Strachan ...a structural break model or does change oc- cur over the business cycle?, ...
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U-statistic Type Tests for Structural Breaks in Linear Regression Models
... This article introduces a U -statistic type process that is based on a kernel function which can depend on nuisance parameters. It is shown here that this process can accommodate very easily anti-symmetric kernels very ...
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