Testing for Stochastic Trends in Series with Structural Breaks PDF Download
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Author: Fabio Busetti
Publisher:
ISBN:
Category : Asymptotic distribution (Probability theory)
Languages : en
Pages : 56
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Book Description
Author: Fabio Busetti
Publisher:
ISBN:
Category : Asymptotic distribution (Probability theory)
Languages : en
Pages : 56
Get Book Here
Book Description
Author: Fabio Busetti
Publisher:
ISBN:
Category : Seasonal variations
Languages : en
Pages : 72
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Book Description
Author: Antonio E. Noriega-Muro
Publisher: Ashgate Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
This book presents an econometric analysis concerned with the problems of testing for the existence of stochastic or deterministic trends in series which possess structural breaks. It opens with a survey of many of the available tests for unit roots, providing, at the same time, an introduction to the theory of testing for unit roots against both dixed and non-fixed trend-stationary alternatives.
Author: Colin O'Hare
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
In recent years the issue of life expectancy has become of upmost importance to pension providers, insurance companies and the government bodies in the developed world. Significant and consistent improvements in mortality rates and hence life expectancy have led to unprecedented increases in the cost of providing for older ages. This has resulted in an explosion of stochastic mortality models forecasting trends in mortality data in order to anticipate future life expectancy and hence quantify the costs of providing for future ageing populations. Many stochastic models of mortality rates identify linear trends in mortality rates by time, age and cohort and forecast these trends into the future using standard statistical methods. The modeling approaches used fail to capture the effects of any structural change in the trend and thus potentially produce incorrect forecasts of future mortality rates. In this paper we look at a range of leading stochastic models of mortality and test for structural breaks in the trend time series. We find that in almost all cases structural breaks in the time series are present and when allowing for these the resulting forecasts are significantly improved.
Author: Chihwa Kao
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative hypothesis of (at least) one common change point, which is possibly unknown. The limiting distributions of the proposed test statistics are derived. Monte Carlo simulations examine size and power of the proposed tests.
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: Pierre Perron
Publisher:
ISBN: 9789813237896
Category : Econometrics
Languages : en
Pages :
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Book Description
Part I. Unit roots and trend breaks -- Part II. Structural change
Author: Boris Brodsky
Publisher: CRC Press
ISBN: 1498755976
Category : Mathematics
Languages : en
Pages : 366
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Book Description
This book covers the development of methods for detection and estimation of changes in complex systems. These systems are generally described by nonstationary stochastic models, which comprise both static and dynamic regimes, linear and nonlinear dynamics, and constant and time-variant structures of such systems. It covers both retrospective and sequential problems, particularly theoretical methods of optimal detection. Such methods are constructed and their characteristics are analyzed both theoretically and experimentally. Suitable for researchers working in change-point analysis and stochastic modelling, the book includes theoretical details combined with computer simulations and practical applications. Its rigorous approach will be appreciated by those looking to delve into the details of the methods, as well as those looking to apply them.
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.
Author: Peter A. Groothuis
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Book Description
To search for eras in a sports league, we utilize time series tests with structural breaks to identify eras in Major League Baseball performance. Using data from 1871-2010, the mean and standard deviation of four different performance measures are examined to test if deterministic or stochastic trends and structural breaks are present. Throughout, we identify breaks endogenously from the data. Perhaps most notable among our findings, we identify a deterministic trend in the mean slugging percentage in 1921 and 1992, which coincides with the early years of the free swinging (Babe Ruth) era and the modern steroid era, respectively.
