• No results found

structural breaks

Structural Breaks and Testing for the Random Walk Hypothesis in International Stock Prices

Structural Breaks and Testing for the Random Walk Hypothesis in International Stock Prices

... one structural break in the data, the ZA test found evidence in favour of random walk hypothesis for 14 ...determined structural breaks in each series, similar to the results reported in the ...

20

Detecting big structural breaks in large factor models

Detecting big structural breaks in large factor models

... large breaks in the factor model ...relevant structural breaks in the factor ...mild structural instability in factor models to then use empirical evidence showing that the failure of ...

40

China's Regional Convergence in Panels with Multiple Structural Breaks

China's Regional Convergence in Panels with Multiple Structural Breaks

... multiple structural breaks in the provincial-level panel ...multiple breaks at various break dates across provinces is developed; this test is based on the p-value combination approach suggested by ...

43

Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and Brazil

Price-Money Relationship After Inflation Targeting: Cointegration Test With Structural Breaks For Turkey and Brazil

... creates structural breaks in monetary infl ation ...take structural changes into ...experienced structural reforms and economic crises such as Table 3: L–S unit root test ...

8

Likelihood Based Confidence Sets for the Timing of Structural Breaks

Likelihood Based Confidence Sets for the Timing of Structural Breaks

... with structural breaks, as long as we can draw from the likelihood function for the ...have breaks at different ...have structural breaks in long-run growth and volatility, ...the ...

51

The Feldstein –Horioka Puzzle and structural breaks: evidence from EU members

The Feldstein –Horioka Puzzle and structural breaks: evidence from EU members

... a structural shift. Then the Bai and Perron (1998) structural break test was applied to determine the presence of structural breaks in ...no breaks. Moreover, structural break ...

26

The bilateral trade balance of the EU in the presence of structural breaks

The bilateral trade balance of the EU in the presence of structural breaks

... of structural breaks provide evidence of income being the determining factor in the bilateral trade of Europe rather than the real exchange rate, which are similar to studies which do not consider ...

23

Long memory and structural breaks in time series models

Long memory and structural breaks in time series models

... examines structural breaks in time series regressions where both regressors and errors may exhibit long range ...estimating structural breaks are analysed and asymptotic distribution of ...

223

Firm’s credit risk in the presence of market structural breaks

Firm’s credit risk in the presence of market structural breaks

... market structural breaks affect a firm’s capital structure and then her credit behavior, the information 35.. © 2018 by the author(s).[r] ...

15

Forecasting output growth by the yield curve: the role of structural breaks

Forecasting output growth by the yield curve: the role of structural breaks

... The break dates are identified at October 1979 and January 1983, which coincides closely with the change in monetary policy regime with the advent of the US Fed chair- man Volcker in late 1979. Before 1979, the short ...

43

Macroeconomic fluctuations,regime switching(structural breaks) and impulse responses:Nigerian evidence

Macroeconomic fluctuations,regime switching(structural breaks) and impulse responses:Nigerian evidence

... hand, structural break models allow the dynamics to change over ...identify structural breaks versus regime switching as applied to the Nigerian ...

35

Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms

Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms

... to structural shifts, and these types of models are useful in a practical sense for empirical macroeconomic ...with structural breaks are unknown, so that a formal econometric study based on these ...

35

Structural Breaks, Model Selection, and Overidentification in Dynamic Factor Models.

Structural Breaks, Model Selection, and Overidentification in Dynamic Factor Models.

... for structural breaks in the factor loadings of dynamic factor ...many breaks in factor loadings. Finally, we find some evidence of structural break in the US macroeconomic time series in the ...

260

Random Walk and Multiple Structural Breaks In Thai Stock Market

Random Walk and Multiple Structural Breaks In Thai Stock Market

... one structural break in trend function to examined the random walk hypothesis in emerging markets, however none of previous studies employed a two-break test in the context of Thai stock ...two structural ...

10

Spurious regressions of stationary AR(p) processes with structural breaks

Spurious regressions of stationary AR(p) processes with structural breaks

... The goal of the current paper is to investigate the possible existence of spu- rious relations in a pair of stationary, invertible AR(p) processes with weakly depen- dent innovations and structural breaks, ...

26

Bayesian Model Averaging and Identification of Structural Breaks in Time Series

Bayesian Model Averaging and Identification of Structural Breaks in Time Series

... Moving to the summary of the BRs (the last two columns), we …nd that 8 of the series are characterised as having unit roots, with the other 6 being station- ary around trend. Only one of the series (Unemployment) ...

28

A New Nonlinear Specification of Structural Breaks for Money Demand in Iran

A New Nonlinear Specification of Structural Breaks for Money Demand in Iran

... a structural time series regression model, binary variables have been used to quantify qualitative or categorical quantitative events such as politic and economic structural breaks, regions, age ...

19

Long Range Dependence and Structural Breaks in the Gold Markets

Long Range Dependence and Structural Breaks in the Gold Markets

... three structural breaks in the gold market in our sample, namely, the Middle East oil price crisis in 1979, the turmoil in South Africa in 1987 and the surging demand in gold from China and India since ...

32

The Demand for Money, Structural Breaks and Monetary Policy in the Gambia

The Demand for Money, Structural Breaks and Monetary Policy in the Gambia

... endogenous structural breaks in the cointegrating relationship for the ...endogenous structural breaks in the underlying long–run equilibrium ...

14

Balanced growth and structural breaks: Evidence for Germany

Balanced growth and structural breaks: Evidence for Germany

... of structural breaks in these determinants, thereby finding more evidence for the balanced-growth ...two structural breaks substantially increases the number of rejections of the unit-root ...

25

Show all 10000 documents...

Related subjects