IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v43y2011i18p2313-2320.html
   My bibliography  Save this article

Structural breaks and smooth transition autoregressive processes: an application to the US stock value ratios

Author

Listed:
  • Gawon Yoon

Abstract

In this study, we show that a very simple structural break process can be easily confused with an Exponential Smooth Transition Autoregressive (ESTAR) model. Nonlinear estimates of an ESTAR model also appear to be quite significant and plausible when the model is applied to a structural break process. Testing for structural breaks is, therefore, imperative to avoid finding spurious nonlinear relations. Throughout this study, we illustrate our main findings with the value ratios from the Standard & Poor's 500 (S&P 500) stock price.

Suggested Citation

  • Gawon Yoon, 2011. "Structural breaks and smooth transition autoregressive processes: an application to the US stock value ratios," Applied Economics, Taylor & Francis Journals, vol. 43(18), pages 2313-2320.
    • Handle: RePEc:taf:applec:v:43:y:2011:i:18:p:2313-2320
    DOI: 10.1080/00036840903166228
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840903166228
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036840903166228?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hurn Stan & Johnson Nicholas & Silvennoinen Annastiina & Teräsvirta Timo, 2022. "Transition from the Taylor rule to the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(5), pages 635-647, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:43:y:2011:i:18:p:2313-2320. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.