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Strong Rules for Detecting the Number of Breaks in a Time Series

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Author Info
Filippo Altissimo (Bank of Italy)
Valentina Corradi (Queen Mary and Westfield College)

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Abstract

This paper proposes a new approach for detecting the number of structural breaks in a time series when estimation of the breaks is performed one at the time. We consider the case of shifts in the mean of a possibly nonlinear process, allowing for dependent and heterogeneous observations. This is accomplished through a simple, sequential, almost sure rule ensuring that, in large samples, both the probabilities of overestimating and underestimating the number of breaks are zero. A new estimator for the long run variance which is consistent also in the presence of neglected breaks is proposed. The finite sample behavior is investigated via a simulation exercise. The sequential procedure, applied to the weekly Eurodollar interest rate, detects multiple breaks over the period 1973-1995.

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Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 0574.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:0574

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. PREMINGER, Arie & HAFNER, Christian M., 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," CORE Discussion Papers 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  2. Jose Olmo & William Pouliot, 2008. "U-statistic Type Tests for Structural Breaks in Linear Regression Models," City University Economics Discussion Papers 08/15, Department of Economics, City University, London. [Downloadable!]
  3. Alessandro Calza, 2008. "Globalisation, domestic inflation and global output gaps - evidence from the euro area," Working Paper Series 890, European Central Bank. [Downloadable!]
  4. Benoît Mojon, 2005. "When did unsystematic monetary policy have an effect on inflation?," Working Paper Series 559, European Central Bank. [Downloadable!]
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  5. Laurent Bilke, 2005. "Break in the mean and persistence of inflation - a sectoral analysis of French CPI," Working Paper Series 463, European Central Bank. [Downloadable!]
  6. Alessandro Calza, 2008. "Globalisation, domestic inflation and the global output gaps: evidence from the Euro era," Globalization and Monetary Policy Institute Working Paper 13, Federal Reserve Bank of Dallas. [Downloadable!]
  7. George Hondroyiannis & Sophia Lazaretou, 2007. "Inflation persistence during periods of structural change: an assessment using Greek data," Empirica, Springer, vol. 34(5), pages 453-475, December. [Downloadable!] (restricted)
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  8. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics. [Downloadable!]
  9. Jennifer L. Castle & David F. Hendry, 2008. "The Long-Run Determinants of UK Wages, 1860-2004," Economics Series Working Papers 409, University of Oxford, Department of Economics. [Downloadable!]
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  10. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2003. "Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity," Statistics and Econometrics Working Papers ws036313, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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