Bootstrapping Sequential Test for Multiple Structural Breaks PDF Download
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Author: Anindya Banerjee
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
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Book Description
Author: Anindya Banerjee
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
Get Book Here
Book Description
Author: Anindya Banerjee
Publisher:
ISBN:
Category : Bootstrap (Statistics)
Languages : en
Pages : 21
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Book Description
Author: Christian de Peretti
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Sergei Antoshin
Publisher: International Monetary Fund
ISBN:
Category : Computers
Languages : en
Pages : 34
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Book Description
In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to determine sample-specific critical values under the each time the test is run. We draw on the results of our simulations to offer practical suggestions on handling serial correlation, model misspecification, and the use of alternative test statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 observations, our proposed modifications perform substantially better.
Author: Stephan Smeekes
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We propose an approach to investigate the unit root properties of individual units in a time series panel or large multivariate time series, based on testing user-defined increasing proportions of hypothesized I(0) units sequentially. Asymptotically valid critical values are obtained using the block bootstrap. This sequential approach has an advantage over multiple testing approaches as it can exploit the (cross-sectional) dimension of the system, which the multiple testing approaches cannot do effectively. A simulation study and an empirical application are conducted to analyse the relative performance of the approach in comparison with multiple testing approaches. These demonstrate the usefulness of our method, in particular in systems with a relatively small time dimension.
Author: C. Milas
Publisher: Emerald Group Publishing
ISBN: 044451838X
Category : Business & Economics
Languages : en
Pages : 461
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Book Description
This volume of Contributions to Economic Analysis addresses a number of important questions in the field of business cycles including: How should business cycles be dated and measured? What is the response of output and employment to oil-price and monetary shocks? And, is the business cycle asymmetric, and does it matter?
Author: Panchanan Das
Publisher: Springer Nature
ISBN: 9813290196
Category : Business & Economics
Languages : en
Pages : 565
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Book Description
This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
Author: Walter Krämer
Publisher: Springer Science & Business Media
ISBN: 3642484123
Category : Business & Economics
Languages : en
Pages : 134
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Book Description
Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Author: Stephan Smeekes
Publisher:
ISBN:
Category : Panel analysis
Languages : en
Pages : 36
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Book Description
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
