Testing for Structural Breaks in the Presence of Data Perturbations: Impacts and Wavelet Based Improvements
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
- Bound, John & Brown, Charles & Mathiowetz, Nancy, 2001. "Measurement error in survey data," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.),Handbook of Econometrics, edition 1, volume 5, chapter 59, pages 3705-3843, Elsevier.
- Kim, Dukpa & Perron, Pierre, 2009.
"Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope,"
Journal of Econometrics, Elsevier, vol. 149(1), pages 26-51, April.
- Dukpa Kim & Pierre Perron, 2006. "Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope," Boston University - Department of Economics - Working Papers Series WP2006-063, Boston University - Department of Economics.
- Paulo M. M. Rodrigues & Antonio Rubia, 2011.
"The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 449-468, August.
- Paulo M.M. Rodrigues & Antonio Rubia, 2010. "The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance," Working Papers w201011, Banco de Portugal, Economics and Research Department.
- Ramazan Gencay & Nikola Gradojevic, 2009. "Errors-in-Variables Estimation with No Instruments," Working Paper series 30_09, Rimini Centre for Economic Analysis.
- Schennach, Susanne M., 2004. "Exponential specifications and measurement error," Economics Letters, Elsevier, vol. 85(1), pages 85-91, October.
- Hansen, Bruce E., 1992.
"Testing for parameter instability in linear models,"
Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
- Tom Doan, "undated". "STABTEST: RATS procedure to perform Hansen's stability test for OLS," Statistical Software Components RTS00199, Boston College Department of Economics.
- Balke, Nathan S & Fomby, Thomas B, 1994.
"Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun.
- Nathan S. Balke & Thomas B. Fomby, 1991. "Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series," Working Papers 9101, Federal Reserve Bank of Dallas.
- Crowley, Patrick M., 2005.
"An intuitive guide to wavelets for economists,"
Research Discussion Papers
1/2005, Bank of Finland.
- Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, University Library of Munich, Germany.
- Patrick M. Crowley, 2005. "An intuitive guide to wavelets for economists," GE, Growth, Math methods 0508009, University Library of Munich, Germany.
- Davidson, Russell, 2009. "Econometric Theory and Methods: International Edition," OUP Catalogue, Oxford University Press, number 9780195391053.
- van Bergeijk, Peter A G, 1995. "The Accuracy of International Economic Observations," Bulletin of Economic Research, Wiley Blackwell, vol. 47(1), pages 1-20, January.
- Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,"
Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
- Johnstone, Iain & Silverman, Bernard W., 2005. "EbayesThresh: R Programs for Empirical Bayes Thresholding," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 12(i08).
- John G. Cragg, 1994. "Making Good Inferences from Bad Data," Canadian Journal of Economics, Canadian Economics Association, vol. 27(4), pages 776-800, November.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Benati, Luca, 2007.
"Drift and breaks in labor productivity,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2847-2877, August.
- Benati, Luca, 2006. "Drift and Breaks in Labour Productivity," CEPR Discussion Papers 5801, C.E.P.R. Discussion Papers.
- Benati, Luca, 2007. "Drift and breaks in labor productivity," Working Paper Series 718, European Central Bank.
- Luis Fernando Melo Velandia & Martha Alicia Misas Arango, 2004.
"Modelos Estructurales de Inflación en Colombia: Estimación a través de Mínimos Cuadrados Flexibles,"
BORRADORES DE ECONOMIA
003244, BANCO DE LA REPÚBLICA.
- Luis Fernando Melo & Martha Misas A., 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
- Gabriel Vasco J. & Alexandre Fernando & Bação Pedro, 2008.
"The Consumption-Wealth Ratio under Asymmetric Adjustment,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-32, December.
- Fernando Alexandre & Vasco J. Gabriel & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," NIPE Working Papers 15/2007, NIPE - Universidade do Minho.
- Vasco Gabriel & Fernando Alexandre & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," GEMF Working Papers 2007-06, GEMF, Faculty of Economics, University of Coimbra.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2018.
"Does The Great Recession Imply The End Of The Great Moderation? International Evidence,"
Economic Inquiry,
Western Economic Association International, vol. 56(2), pages 745-760, April.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris Nanterre, EconomiX.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2018. "Does the Great Recession imply the end of the Great Moderation? International evidence," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01757081, HAL.
- Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," Working Papers hal-00952951, HAL.
- Laurent Ferrara & Olivier Darné & Amélie Charles, 2017. "Does the Great Recession imply the end of the Great Moderation? International evidence," Post-Print hal-01635945, HAL.
- Luca Benati, 2003.
"Evolving Post-World War II U.K. Economic Performance,"
Computing in Economics and Finance 2003
171, Society for Computational Economics.
- Luca Benati, 2004. "Evolving post-World War II UK economic performance," Bank of England working papers 232, Bank of England.
- Burcu Kapar & William Pouliot, 2013. "Multiple Change-Point Detection in Linear Regression Models via U-Statistic Type Processes," Discussion Papers 13-13, Department of Economics, University of Birmingham.
- Alper Ozun & Atilla Cifter, 2008.
"Modeling long-term memory effect in stock prices: A comparative analysis with GPH test and Daubechies wavelets,"
Studies in Economics and Finance, Emerald Group Publishing, vol. 25(1), pages 38-48, March.
- Ozun, Alper & Cifter, Atilla, 2007. "Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets," MPRA Paper 2481, University Library of Munich, Germany.
- 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.
- Margaret M. McConnell & Gabriel Perez-Quiros, 2000.
"Output fluctuations in the United States: what has changed since the early 1980s?,"
Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Gabriel Perez-Quiros & Margaret M. McConnell, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December.
- Margaret M. McConnell & Gabriel Perez-Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
- Margaret M. McConnell & Gabriel Perez-Quiros, 1998. "Output fluctuations in the United States: what has changed since the early 1980s?," Staff Reports 41, Federal Reserve Bank of New York.
- Yamamoto, Yohei & Tanaka, Shinya, 2015.
"Testing for factor loading structural change under common breaks,"
Journal of Econometrics, Elsevier, vol. 189(1), pages 187-206.
- YAMAMOTO, Yohei & TANAKA, Shinya, 2013. "Testing for Factor Loading Structural Change under Common Breaks," Discussion Papers 2013-17, Graduate School of Economics, Hitotsubashi University.
- Alessandro Casini & Pierre Perron, 2018.
"Structural Breaks in Time Series,"
Boston University - Department of Economics - Working Papers Series
WP2019-02, Boston University - Department of Economics.
- Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014.
"Housing and the Great Depression,"
Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2966-2981, August.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "Housing and the Great Depression," Working papers 2012-47, University of Connecticut, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2013. "Housing and the Great Depression," Working Papers 201308, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2013. "Housing and the Great Depression," Working Papers 1301, University of Nevada, Las Vegas , Department of Economics.
- Pierre Perron & Yohei Yamamoto, 2016.
"On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 782-844, May.
- Pierre Perron & Yohei Yamamoto, "undated". "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series 2013-012, Boston University - Department of Economics.
- Pierre Perron & Yohei Yamamoto, 2012. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Global COE Hi-Stat Discussion Paper Series gd12-258, Institute of Economic Research, Hitotsubashi University.
- Pierre Perron & Yohei Yamamoto, 2008. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," Boston University - Department of Economics - Working Papers Series wp2008-006, Boston University - Department of Economics.
- Jorah Ramlan & Elsadig Musa Ahmed, 2009. "Information and Communication Technology (ICT) and human capital management trend in Malaysia's economic development," Applied Economics Letters, Taylor & Francis Journals, vol. 16(18), pages 1881-1886.
- Alessandro Casini, 2018. "Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework," Papers 1803.10883, arXiv.org, revised Dec 2018.
- Kurita, Takamitsu, 2020. "Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
- Abhijit Sharma & Kelvin G Balcombe & Iain M Fraser, 2009.
"Non-renewable resource prices: Structural breaks and long term trends,"
Economics Bulletin, AccessEcon, vol. 29(2), pages 805-819.
- Sharma, Abhijit & Balcombe, Kelvin & Fraser, Iain, 2009. "Non-renewable Resource Prices: Structural Breaks and Long Term Trends," MPRA Paper 16948, University Library of Munich, Germany.
- Roula Inglesi-Lotz & Mehmet Balcilar & Rangan Gupta, 2014.
"Time-varying causality between research output and economic growth in US,"
Scientometrics, Springer;Akadémiai Kiadó, vol. 100(1), pages 203-216, July.
- Roula Inglesi-Lotz & Mehmet Balcilar & Rangan Gupta, 2013. "Time-Varying Causality between Research Output and Economic Growth in the US," Working Papers 201350, University of Pretoria, Department of Economics.
- Adnan Khurshid & Yin Kedong & Adrian Cantemir Calin & Khalid Khan, 2017. "The Effects of Workers’ Remittances on Exchange Rate Volatility and Exports Dynamics - New Evidence from Pakistan," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 20(63), pages 29-52, March.
- Carla Ysusi, 2009. "Analysis of the Dynamics of Mexican Inflation Using Wavelets," Working Papers 2009-09, Banco de México.
More about this item
Keywords
Structural breaks; measurement error; additive outliers; wavelet transform; empirical Bayes thresholding;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-10-25 (Econometrics)
Statistics
Access and download statisticsCorrections
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:hhs:lunewp:2013_036. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (David Edgerton). General contact details of provider: http://edirc.repec.org/data/delunse.html .
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.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.