Search Results

Structural Breaks in Inflation Dynamics,
Luca Benati and George Kapetanios, from Society for Computational Economics (2003)
Keywords: Inflation, Lucas critique, Structural break tests

Structural Breaks and Permanent Trends,
Clifford L.F. Attfield, from School of Economics, University of Bristol, UK (2003)
Keywords: Multivariate Time Series, Structural Breaks, Permanent Trends

Market The (De)merits of using Integral Transforms in Predicting Structural Break Points,
Katlego Kola and Tumellano Sebehela, in International Real Estate Review (2021)
Keywords: Integral transforms, structural breaks

Estimating downside risk in stock returns under structural breaks,
Matthew Hood and Farooq Malik, in International Review of Economics & Finance (2018)
Keywords: Volatility; Structural breaks; GARCH;

Do structural breaks in volatility cause spurious volatility transmission?,
Massimiliano Caporin and Farooq Malik, in Journal of Empirical Finance (2020)
Keywords: Volatility; Structural breaks; GARCH;

Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks,
George Kapetanios, from Queen Mary University of London, School of Economics and Finance (2002)
Keywords: Unit root, Structural break

CHOWTEST: Stata module to perform Chow test for structural break,
Qunyong Wang, from Boston College Department of Economics (2020)
Keywords: Chow, chowtest, structural break

CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks,
Abdulnasser Hatemi-J, from Boston College Department of Economics (2009)
Keywords: Cointegration, Structural Breaks

Should we care for structural breaks when assessing fiscal sustainability,
Antonio Afonso and Christophe Rault, from HAL (2007)
Keywords: structural,breaks,fiscal,sustainability

Economic growth in Latin America: structural breaks or fundamentals,
Romulo Chumacero and Rodrigo Fuentes, in Estudios de Economia (2006)
Keywords: Growth, Latin America, structural breaks.

Stopping Tests in the Sequential Estimation for Multiple Structural Breaks,
Giovanni Urga and Christian de Peretti, from Econometric Society (2004)
Keywords: Structural Breaks, Sequential Testing, Bootstrap

Nonparametric Unit Root Test and Structural Breaks,
Jorge Belaire-Franch and Contreras Dulce, in Journal of Time Series Econometrics (2011)
Keywords: Breitung’s test, structural breaks

Detecting big structural breaks in large factor models,
Liang Chen, Juan Dolado and Jesus Gonzalo, from University Library of Munich, Germany (2011)
Keywords: structural break; large factor model

Long memory versus structural breaks: An overview,
Philipp Sibbertsen, in Statistical Papers (2004)
Keywords: Long memory, structural breaks, trends,

Long-memory versus structural breaks: An overview,
Philipp Sibbertsen, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2001)
Keywords: Long memory, structural breaks, trends

Structural Breaks, Incomplete Information and Stock Prices,
Allan Timmermann, from Department of Economics, UC San Diego (2001)
Keywords: asset pricing, stocks, structural breaks

Structural Breaks and Nonlinearity in US and UK Public Debt,
Fredj Jawadi and Ricardo Sousa, from NIPE - Universidade do Minho (2012)
Keywords: Public debt, structural breaks, nonlinearity.

Robust volatility forecasts in the presence of structural breaks,
Elena Andreou, Eric Ghysels and Constantinos Kourouyiannis, from University of Cyprus Department of Economics (2012)
Keywords: forecast combinations, volatility, structural breaks

Structural breaks and energy efficiency in Fiji,
B. Bhaskara Rao and Gyaneshwar Rao, in Energy Policy (2009)
Keywords: Energy output ratios Energy efficiency Structural breaks

Iranian inflation: peristence and structural breaks,
Luis Gil-Alana, Yadollah Dadgar and Rouhollah Nazari, in Journal of Economics and Finance (2019)
Keywords: Inflation rate; Iranian economy, Persistence, Structural breaks

Occasional Structural Breaks and Long Memory,
Clive Granger and Namwon Hyung, from Department of Economics, UC San Diego (1999)
Keywords: occasional structural breaks, long memory, autocorrelation

The KPSS Test with Two Structural Breaks,
Josep Carrion-i-Silvestre and Andreu Sansó, from Universitat de les Illes Balears, Departament d'Economía Aplicada (2005)
Keywords: Stationary tests, structural breaks, unit root.

Structural breaks in cointegration models,
Anton Skrobotov, in Applied Econometrics (2021)
Keywords: testing for cointegration; testing for cointegration rank; structural breaks; error correction model

Structural breaks in cointegration models,
Skrobotov, Anton (Скроботов, Антон), from Russian Presidential Academy of National Economy and Public Administration (2021)
Keywords: testing for cointegration, testing for cointegration rank, structural breaks, error correction model

Detection of Structural Breaks in Linear Dynamic Panel Data Models,
Stefan De Wachter and Elias Tzavalis, from Queen Mary University of London, School of Economics and Finance (2004)
Keywords: Panel data, Structural break, Break detection

Detection of structural breaks in linear dynamic panel data models,
Stefan De Wachter and Elias Tzavalis, in Computational Statistics & Data Analysis (2012)
Keywords: Panel data; Structural breaks; Break detection;

The impact of structural breaks on the stability of the out-of-sample predictive content of financial variables for Canada's real GDP growth: An encompassing approach,
Akhter Faroque, William Veloce and Jean-Francois Lamarche, from Brock University, Department of Economics (2008)
Keywords: Forecasts, Structural Breaks

Structural breaks and unit root: evidence from Pakistani macroeconomic time series,
Muhammad Waheed, Tasneem Alam and Saghir Ghauri, from University Library of Munich, Germany (2006)
Keywords: Structural break; unit root; pakistan

Long memory or structural break: evidence from the Tehran stock market,
Mansoor Kashi, Seyed Hasan Hosseini, Ammar Arabi Jeshvaghani and Mansour Kheirgoo, in International Journal of Procurement Management (2019)
Keywords: autocorrelation; structural break; long memory.

Estimating volatility persistence under a Brexit-vote structural break,
Tola Adesina, in Finance Research Letters (2017)
Keywords: Volatility persistence; Structural break; Brexit;

Modelling asymmetric volatility in oil prices under structural breaks,
Bradley Ewing and Farooq Malik, in Energy Economics (2017)
Keywords: Oil volatility; Structural breaks; GARCH;

Testing for Structural Breaks in Covariance: Exchange Rate Pass-Through in Canada,
Maral Kichian and Lynda Khalaf, from Society for Computational Economics (2005)
Keywords: pass-through, structural break test

Should we care for Structural Breaks when Assessing Fiscal Substainability,
Christophe Rault, from HAL (2007)
Keywords: Breaks,Assessing,Fiscal,Substainability,Structural

Automated Portfolio Optimization Based on a New Test for Structural Breaks,
Tobias Berens, Dominik Wied and Daniel Ziggel, in Acta Universitatis Danubius. OEconomica (2014)
Keywords: Fluctuation Test; Markowitz; Structural Break

Modelling Structural Breaks in the US, UK and Japanese Unemployment Rates,
Guglielmo Maria Caporale and Luis Gil-Alana, from CESifo (2006)
Keywords: unemployment, structural breaks, fractional integration

Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks,
Elie Bouri, Luis Gil-Alana, Rangan Gupta and David Roubaud, from University of Pretoria, Department of Economics (2016)
Keywords: Bitcoin, Long memory, Structural Breaks

A structural break analysis of inflation dynamics in china,
Takanori Minamikawa, in Economics Bulletin (2010)
Keywords: inflation, inflation dynamics, multiple structural break, China

Intertemporal current account sustainability in the presence of structural breaks,
Miomir Jakšiæ, Nikola Fabris and Milutin Ješiæ, in Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics (2018)
Keywords: current account, intertemporal approach, structural breaks

Structural Breaks in Long-Term Turkish Macroeconomic Data,1923-2003,
Galip Altinay, in Applied Econometrics and International Development (2005)
Keywords: Turkish Long-Term Macroeconomics, Structural Breaks

Analyzing the trend in COVID-19 data: The structural break approach,
Nityananda Sarkar and Kushal Banik Chowdhury, in International Econometric Review (IER) (2022)
Keywords: COVID-19, Structural breaks, Non-stationarity, Forecasting

Nonlinear time-series convergence: The role of structural breaks,
Alan King and Carlyn Ramlogan-Dobson, in Economics Letters (2011)
Keywords: Income convergence Nonlinear mean-reversion Structural breaks

Does modeling a structural break improve forecast accuracy?,
Tom Boot and Andreas Pick, in Journal of Econometrics (2020)
Keywords: Structural break test; Forecasting; Squared error loss;

Arch and Structural Breaks in United States Inflation,
Bill Russell, from Scottish Institute for Research in Economics (SIRE) (2013)
Keywords: Philips curve, ARCH, structural breaks, inflation, markup,

Technology shocks, structural breaks and the effects on the business cycle,
Vincenzo Atella, Marco Centoni and Gianluca Cubadda, from University of Molise, Department of Economics (2007)
Keywords: Business cycle, technology shocks, structural breaks.

Forecasting long memory processes subject to structural breaks,
Cindy Shin-huei Wang, Luc Bauwens and Cheng Hsiao, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012)
Keywords: forecasting, long memory process, structural break

TESTING OF REAL CONVERGENCE IN GERMANY IN THE PRESENCE OF STRUCTURAL BREAKS,
Luis Gil-Alana, in The Singapore Economic Review (SER) (2005)
Keywords: Real convergence, fractional integration, structural breaks

Testing for structural breaks in dynamic factor models,
Jörg Breitung and Sandra Eickmeier, in Journal of Econometrics (2011)
Keywords: Structural break Factor model LM test

The bilateral trade flows of the EU in the presence of structural breaks,
Natalya Ketenci, in Empirical Economics (2016)
Keywords: Bilateral trade balance, Cointegration, Structural breaks, EU

A joint test of predictability and structural break in predictive regressions,
Yijie Fei, in Empirical Economics (2024)
Keywords: IVX, Predictive regressions, Structural break, Joint test

A Structural Break Analysis of Fiscal Deficit Process in Nigeria,
Owolabi A. Usman and Dauda Gbolagade Adebisi, in The Review of Black Political Economy (2017)
Keywords: Fiscal Deficit, Cointegration, Unit Roots, Structural Breaks

Testing for the Null Hypothesis of Cointegration with a Structural Break,
Yoichi Arai and Eiji Kurozumi, in Econometric Reviews (2007)
Keywords: Cointegration, Integrated time series, No cointegration, Structural break,

Identifying structural breaks in stochastic mortality models,
Colin O'Hare and Youwei Li, from University Library of Munich, Germany (2014)
Keywords: Mortality; stochastic models; forecasting; structural breaks

ARCH and structural breaks in United States inflation,
Bill Russell, from Economic Studies, University of Dundee (2013)
Keywords: Philips curve, ARCH, structural breaks, inflation, markup

Modelling oil price volatility with structural breaks,
Afees Salisu and Ismail Fasanya, in Energy Policy (2013)
Keywords: Crude oil price; Structural breaks; Volatility modelling;

How to Deal with Structural Breaks in Practical Cointegration Analysis,
Roselyne Joyeux, from Macquarie University, Department of Economics (2001)
Keywords: structural break, dummy variable, cointegration,VAR models

A Multivariate Long-Memory Model with Structural Breaks,
Guglielmo Maria Caporale and Luis Gil-Alana, from CESifo (2007)
Keywords: multivariate models, fractional integration, structural breaks

Structural Breaks in Public Infrastructure Investment in the U.S,
Alfredo Pereira and Martin Schmidt, from Department of Economics, College of William and Mary (2007)
Keywords: public investment, infrastructure, structural breaks, VAR modeling

Structural Change and the Problem of Phantom Break Locations,
Yao Rao and Brendan McCabe, from University of Liverpool, Department of Economics (2018)
Keywords: CUSUM test, Phantom Break Locations, Structural change

FORECAST COMBINATIONS FOR REALIZED VOLATILITY IN PRESENCE OF STRUCTURAL BREAKS,
Davide De Gaetano, from Department of Economics - University Roma Tre (2016)
Keywords: Forecast combinations, Structural breaks, Realized volatility

Technology shocks, structural breaks and the effects on the business cycle,
Vincenzo Atella, Marco Centoni and Gianluca Cubadda, from Tor Vergata University, CEIS (2007)
Keywords: Business cycle, technology shocks, structural breaks

Analysis of Structural Breaks in BET Index,
Valentin Epure, in Eco-Economics Review (2017)
Keywords: Bucharest Exchange Trading (BET) Index, stability tests, multiple structural breaks

Detecting and Quantifying Structural Breaks in Climate,
Neil R. Ericsson, Mohammed H. I. Dore and Hassan Butt, in Econometrics (2022)
Keywords: climate change; indicator saturation; machine learning; Mauritania; rainfall; structural breaks

Structural Breaks and the Demand for Money in Fiji,
B. Rao and Saten Kumar, from University Library of Munich, Germany (2006)
Keywords: Structural break; Cointegration; Gregory and Hansen; Demand for money; Fiji

Structural Breaks and the Normality of Stock Returns,
Joshua Seungwook Bahng, in Swiss Journal of Economics and Statistics (SJES) (2004)
Keywords: Structural Breaks; Mixture-of-Normals; Stock Return Distribution; Swiss Stock Market

Was There a Structural Break in Barry Bonds's Bat?,
Michael Nieswiadomy, Mark Strazicich and Clayton Stephen, in Journal of Quantitative Analysis in Sports (2012)
Keywords: age-effects, baseball, OPS, peak performance, structural break

Structural Breaks in an Endogenous Growth Model,
Timothy Cogley and Boyan Jovanovic, in The Review of Economic Studies (2022)
Keywords: Structural breaks, Uncertainty shocks, General equilibrium, Volatility shocks, Learning

Optimal forecasts in the presence of structural breaks,
Mohammad Pesaran, Andreas Pick and Mikhail Pranovich, in Journal of Econometrics (2013)
Keywords: Forecasting; Structural breaks; Optimal weights; Robust optimal weights; Exponential smoothing;

Optimal Forecast under Structural Breaks,
Tae Hwy Lee, Shahnaz Parsaeian and Aman Ullah, from University of Kansas, Department of Economics (2022)
Keywords: Forecasting; Structural breaks; Stein-like combined estimator; Output growth

Estimation of Heterogeneous Panels with Structural Breaks,
Badi Baltagi, Qu Feng and Chihwa Kao, from Center for Policy Research, Maxwell School, Syracuse University (2015)
Keywords: Heterogeneous Panels, Cross-sectional Dependence, Structural Breaks, Common Correlated Effects

The KPSS test with two structural breaks,
Josep Carrion-i-Silvestre and Andreu Sansó, in Spanish Economic Review (2007)
Keywords: Stationary tests, Structural breaks, Unit root, GDP, C12, C22,

Estimation of heterogeneous panels with structural breaks,
Badi Baltagi, Qu Feng and Chihwa Kao, in Journal of Econometrics (2016)
Keywords: Heterogeneous panels; Cross-sectional dependence; Structural breaks; Common correlated effects;

On Bias in the Estimation of Structural Break Points,
Liang Jiang, Xiaohu Wang Wang and Jun Yu, from Singapore Management University, School of Economics (2014)
Keywords: Structural change, Bias reduction, Indirect estimation, Break point

Structural breaks and financial risk management,
Marianna Endresz, from Magyar Nemzeti Bank (Central Bank of Hungary) (2004)
Keywords: Structural Break tests, volatility forecasting, Value-at-Risk, backtest.

Optimal Forecast under Structural Breaks,
Tae Hwy Lee, Shahnaz Parsaeian and Aman Ullah, from University of California at Riverside, Department of Economics (2022)
Keywords: Forecasting, Structural breaks, Stein-like combined estimator, Output growth

Inflation persistence and structural breaks,
Giorgio Canarella and Stephen Miller, in Journal of Economic Studies (2016)
Keywords: Structural breaks, Fractional integration, Inflation persistence, Inflation targeting, Rolling-window estimation, C14, E31, C22

Factor Selection and Structural Breaks,
Siddhartha Chib and Simon Smith, from Board of Governors of the Federal Reserve System (U.S.) (2024)
Keywords: Model comparison; Factor models; Structural breaks; Anomaly; Bayesian analysis; Discount factor; Portfolio analysis; Sparsity

Structural Breaks and Performance in Agriculture,
Madhusudan Ghosh, from Springer (2013)
Keywords: Significant Structural Break, Post-reform Period, Interstate Variation, Trend Function, Agriculture Output

Structural breaks and monetary dynamics: A time series analysis,
Alaa El-Shazly, in Economic Modelling (2016)
Keywords: Money demand; Structural breaks; State-space model; Structural VAR analysis;

Nonparametric estimation of structural breakpoints,
Javier Hidalgo, from Universidad Carlos III de Madrid. Departamento de Estadística (1994)
Keywords: Structural breaks

Structural Breaks in Financial Panel Data,
Yiannis Karavias, from Springer (2022)
Keywords: Panel data, Structural change, Cross-section dependence, Structural break, Trade credit, Financial crisis

Performance of Methods Determining Structural Break in Linear Regression Models,
Zümre Özdemir Güler and Mehmet Akif Bakýr, in International Econometric Review (IER) (2019)
Keywords: Structural Break, Linear Regression Models, Cross-Sectional Data, Break-Point.

Minimum LM unit root test with one structural break,
Junsoo Lee and Mark Strazicich, in Economics Bulletin (2013)
Keywords: Lagrange Multiplier, Unit Root Test, Structural Break, and Endogenous Break

Postwar slowdowns and long-run growth: a Bayesian analysis of structural break models,
Yi-Chi Chen and Eric Zivot, in Empirical Economics (2010)
Keywords: Trend breaks, Growth, Gibbs sampler, Multiple structural breaks, C11, E32,

Bayesian Inference about the Types of Structural Breaks When There are Many Breaks,
Yunjong Eo, from University of Sydney, School of Economics (2012)
Keywords: Inflation Dynamics; Multiple-Parameter Change-point; Structural Breaks; Bayesian Analysis

Key Macroeconomic Variables under Exchange Rate Volatility: Time-Varying Causality in the Presence of Structural Breaks and Nonlinearity,
Oğuz Tümtürk, in EKOIST Journal of Econometrics and Statistics (2023)
Keywords: Volatility, causality, structural break, nonlinearity

Structural Break, Nonlinearity and the Hysteresis hypothesis: Evidence from new unit root tests,
Zarina Oflaz, in Econometrics Letters (2017)
Keywords: Hysteresis hypothesis; Structural Break; Nonlinearity.

Structural Breaks and Co-Movements of Bitcoin and Ethereum: Evidence from the COVID-19 Pandemic Period,
Bilgehan Tekin, in Journal of Central Banking Theory and Practice (2024)
Keywords: Structural Break, Co-Movement, Cryptocurrency.

Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations,
George Kapetanios, from Queen Mary University of London, School of Economics and Finance (2002)
Keywords: Nonlinearity, Structural breaks, Neural networks

Are Fluctuations in Gas Consumption Per Capita Transitory? Evidence from LM Unit Root Test with Two Structural Breaks,
Muhammad Shahbaz, Sakiru Solarin and Hrushikesh Mallick, in Bulletin of Energy Economics (BEE) (2015)
Keywords: Gas Consumption, Stationary, Structural Breaks

Are Fluctuations in Gas Consumption Per Capita Transitory? Evidence from LM Unit Root Test with Two Structural Breaks,
Muhammad Shahbaz, Sakiru Solarin and Hrushikesh Mallick, from University Library of Munich, Germany (2015)
Keywords: Gas Consumption, Stationary, Structural Breaks