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Algunos métodos para modelar tendencias y su aplicación a las series de empleo sectorial en Puerto Rico
[Different Techniques of Modelling Trend and its applications to Puerto Rico Sectoral Employment Series]

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  • Toledo, Wilfredo

Abstract

s: This paper considers the principal approaches used for modelling trends in economic time series. Deterministic, stochastic, and segmented trends models with dates of break determined endogenously are considered. Also, a review of Quandt/Andrews/Bain method to identify structural changes and construct confidence intervals for the break dates is presented. These techniques are applied to Puerto Rico sectoral employment series.

Suggested Citation

  • Toledo, Wilfredo, 2010. "Algunos métodos para modelar tendencias y su aplicación a las series de empleo sectorial en Puerto Rico [Different Techniques of Modelling Trend and its applications to Puerto Rico Sectoral Employm," MPRA Paper 26871, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:26871
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    References listed on IDEAS

    as
    1. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(3), pages 315-352, June.
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    4. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    5. Christiano, Lawrence J, 1992. "Searching for a Break in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 237-250, July.
    6. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 117-128, Fall.
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    8. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Palabras Clave: Modelos de tendencia; filtro Hodrick-Prescott; descomposición Beveridge-Nelson; cambios estructurales con fechas endógenas; intervalos de confianza para fechas de cambios estructurales. Key Words: Modelling trends; structural break and confidence intervals; Hodrick-Prescott Filter; Beveridge-Nelson Decomposition.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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