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Testing, monitoring, and dating structural changes in exchange rate regimes

  • Zeileis, Achim
  • Shah, Ajay
  • Patnaik, Ila

Linear regression models for de facto exchange rate regime classification are complemented by inferential techniques for evaluating the stability of the regimes. To simultaneously assess parameter instabilities in the regression coefficients and the error variance an (approximately) normal regression model is adopted and a unified toolbox for testing, monitoring, and dating structural changes is provided for general (quasi-)likelihood-based regression models. Subsequently, the toolbox is employed for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and for tracking the evolution of the Indian exchange rate regime from 1993 until 2008.

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 54 (2010)
Issue (Month): 6 (June)
Pages: 1696-1706

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Handle: RePEc:eee:csdana:v:54:y:2010:i:6:p:1696-1706
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  2. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
  3. Benassy-Quere, Agnes & Coeure, Benoit & Mignon, Valerie, 2006. "On the identification of de facto currency pegs," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 112-127, March.
  4. Chu, Chia-Shang James & Stinchcombe, Maxwell & White, Halbert, 1996. "Monitoring Structural Change," Econometrica, Econometric Society, vol. 64(5), pages 1045-65, September.
  5. Zeileis, Achim & Leisch, Friedrich & Kleiber, Christian & Hornik, Kurt, 2002. "Monitoring structural change in dynamic econometric models," Technical Reports 2002,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  6. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2001. "Strucchange: An R package for testing for structural change in linear regression models," Technical Reports 2001,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  7. Reinhart, Carmen & Rogoff, Kenneth, 2004. "The modern history of exchange rate arrangements: A reinterpretation," MPRA Paper 14070, University Library of Munich, Germany.
  8. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
  9. Pierre Perron & Jing Zhou, 2008. "Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model," Boston University - Department of Economics - Working Papers Series wp2008-011, Boston University - Department of Economics.
  10. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
  11. Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
  12. Eduardo Levy-Yeyati & Federico Sturzenegger, 2003. "To Float or to Fix: Evidence on the Impact of Exchange Rate Regimes on Growth," American Economic Review, American Economic Association, vol. 93(4), pages 1173-1193, September.
  13. repec:cup:cbooks:9780521252805 is not listed on IDEAS
  14. Hawkins, Douglas M., 2001. "Fitting multiple change-point models to data," Computational Statistics & Data Analysis, Elsevier, vol. 37(3), pages 323-341, September.
  15. Achim Zeileis, 2005. "A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 445-466.
  16. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
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