Mean Shift detection under long-range dependencies with ART
Atheoretical regression trees (ART) are applied to detect changes in the mean of a stationary long memory time series when location and number are unknown. It is shown that the BIC, which is almost always used as a pruning method, does not operate well in the long memory framework. A new method is developed to determine the number of mean shifts. A Monte Carlo Study and an application is given to show the performance of the method.
|Date of creation:||06 Jul 2009|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Sibbertsen, Philipp, 2001.
"Long-memory versus structural breaks: An overview,"
2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-85, March.
- Granger, Clive W.J. & Hyung, Namwon, 1999.
"Occasional Structural Breaks and Long Memory,"
University of California at San Diego, Economics Working Paper Series
qt4d60t4jh, Department of Economics, UC San Diego.
- Francis X. Diebold & Atsushi Inoue, 2000.
"Long Memory and Regime Switching,"
NBER Technical Working Papers
0264, National Bureau of Economic Research, Inc.
- da Rosa, Joel Correa & Veiga, Alvaro & Medeiros, Marcelo C., 2008. "Tree-structured smooth transition regression models," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2469-2488, January.
- Corvoisier, Sandrine & Mojon, Benoît, 2005. "Breaks in the mean of inflation: how they happen and what to do with them," Working Paper Series 0451, European Central Bank.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:17874. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.