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Citations for "Estimating Multiple Breaks One at a Time"

by Bai, Jushan

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  1. Wang‐Sheng Lee & Sandy Suardi, 2011. "Minimum Wages and Employment: Reconsidering the Use of a Time Series Approach as an Evaluation Tool," British Journal of Industrial Relations, London School of Economics, vol. 49(Supplemen), pages s376-s401, 07.
  2. Korbinian von Blanckenburg, Gerrit Reher, . "Testverfahren zur Beurteilung der Funktionsfähigkeit von Marktprozessen," Working Papers 201154, Institute of Spatial and Housing Economics, Munster Universitary.
  3. Michael Funke & Annekatrin Niebuhr, 2002. "Threshold Effects and Regional Economic Growth – Evidence from West Germany," CESifo Working Paper Series 690, CESifo Group Munich.
  4. Tierney, Heather L.R., 2009. "Examining the Ability of Core Inflation to Capture the Overall Trend of Total Inflation," MPRA Paper 22409, University Library of Munich, Germany, revised Feb 2010.
  5. Valadkhani, Abbas, 2014. "Dynamic effects of rising oil prices on consumer energy prices in Canada and the United States: Evidence from the last half a century," Energy Economics, Elsevier, vol. 45(C), pages 33-44.
  6. Indjehagopian, J. P. & Lantz, F. & Simon, V., 2000. "Dynamics of heating oil market prices in Europe," Energy Economics, Elsevier, vol. 22(2), pages 225-252, April.
  7. Richard Bluhm & Denis de Crombrugghe & Adam Szirmai, 2014. "Do Weak Institutions Prolong Crises? On the Identification, Characteristics, and Duration of Declines during Economic Slumps," CESifo Working Paper Series 4594, CESifo Group Munich.
  8. Noriega, Antonio E. & Ventosa Santaulària, Daniel, 2005. "Spurious regression under broken trend stationarity," MPRA Paper 58768, University Library of Munich, Germany.
  9. Falvey, Rod & Foster, Neil & Greenaway, David, 2012. "Trade Liberalization, Economic Crises, and Growth," World Development, Elsevier, vol. 40(11), pages 2177-2193.
  10. Zhang, Lingxiang & Zhang, Xiaotong, 2011. "Spurious Granger causality between a broken-trend stationary process and a stochastic trend process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(8), pages 1673-1681.
  11. Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
  12. Pablo Astorga, 2007. "Real Exchange Rates in Latin America: what does the 20th Century reveal?," Working Papers in Economic History wp07-03, Universidad Carlos III, Instituto Figuerola de Historia y Ciencias Sociales.
  13. Kourtellos, Andros & Tan, Chih Ming & Zhang, Xiaobo, 2007. "Is the relationship between aid and economic growth nonlinear?," Journal of Macroeconomics, Elsevier, vol. 29(3), pages 515-540, September.
  14. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
  15. Morana, Claudio & Beltratti, Andrea, 2004. "Structural change and long-range dependence in volatility of exchange rates: either, neither or both?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 629-658, December.
  16. M Sensier & D van Dijk, 2001. "Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series," The School of Economics Discussion Paper Series 0103, Economics, The University of Manchester.
  17. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.
  18. Tierney, Heather L.R., 2009. "A Local Examination for Persistence in Exclusions-from-Core Measures of Inflation Using Real-Time Data," MPRA Paper 13383, University Library of Munich, Germany, revised 03 Feb 2009.
  19. Lubos Pastor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," NBER Working Papers 7778, National Bureau of Economic Research, Inc.
  20. Alan Bartley, William & Lee, Junsoo & Strazicich, Mark C., 2001. "Testing the null of cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 73(3), pages 315-323, December.
  21. Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," EconomiX Working Papers 2009-28, University of Paris West - Nanterre la Défense, EconomiX.
  22. Michael W. McCracken, 2012. "Consistent testing for structural change at the ends of the sample," Working Papers 2012-029, Federal Reserve Bank of St. Louis.
  23. Juan F. Jimeno & Esther Moral & Lorena Saiz, 2006. "Structural breaks in labor productivity growth: the United States vs. the European Union," Banco de Espa�a Working Papers 0625, Banco de Espa�a.
  24. Christos Shiamptanis, 2010. "Did the euro give us a break in inflation?," Empirical Economics, Springer, vol. 39(2), pages 395-411, October.
  25. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
  26. Juan Manuel Julio, 2001. "How Uncertain are NAIRU Estimates in Colombia?," BORRADORES DE ECONOMIA 002798, BANCO DE LA REPÚBLICA.
  27. Hyung, N. & Franses, Ph.H.B.F., 2001. "Structural breaks and long memory in US inflation rates: do they matter for forecasting?," Econometric Institute Research Papers EI 2001-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  28. Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Discussion Papers in Economics at the University of Washington 0030, Department of Economics at the University of Washington.
  29. Luis Garicano & Claire LeLarge & John Van Reenen, 2013. "Firm Size Distortions and the Productivity Distribution: Evidence from France," NBER Working Papers 18841, National Bureau of Economic Research, Inc.
  30. D van Dijk & D R Osborn & M Sensier, 2002. "Changes in Variability of the Business Cycle in the G7 Countries," Centre for Growth and Business Cycle Research Discussion Paper Series 16, Economics, The Univeristy of Manchester.
  31. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Causality and Contagion in EMU Sovereign Debt Markets," Working Papers 14-03, Asociación Española de Economía y Finanzas Internacionales.
  32. Siakoulis, Vasilios, 2015. "Modeling bank default intensity in the USA using autoregressive duration models," MPRA Paper 64526, University Library of Munich, Germany.
  33. Jouini, Jamel & Boutahar, Mohamed, 2005. "Evidence on structural changes in U.S. time series," Economic Modelling, Elsevier, vol. 22(3), pages 391-422, May.
  34. Evzen Kocenda, 2001. "Detecting Structural Breaks: Exchange Rates in Transition Economies," Development and Comp Systems 0012009, EconWPA.
  35. Dupuy, Arnaud & Marey, Philip S., 2008. "Shifts and twists in the relative productivity of skilled labor," Journal of Macroeconomics, Elsevier, vol. 30(2), pages 718-735, June.
  36. Canova, Fabio, 2001. "Testing for convergence clubs in income per-capita : a predictive density approach," HWWA Discussion Papers 139, Hamburg Institute of International Economics (HWWA).
  37. Chauvet, Marcelle & Senyuz, Zeynep, 2008. "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper 15076, University Library of Munich, Germany, revised Apr 2009.
  38. Cimadomo, Jacopo, 2008. "Fiscal policy in real time," Working Paper Series 0919, European Central Bank.
  39. Mahua Barari & Nityananda Sarkar & Srikanta Kundu & Kushal Banik Chowdhury, 2014. "Forecasting House Prices in the United States with Multiple Structural Breaks," International Econometric Review (IER), Econometric Research Association, vol. 6(1), pages 1-23, April.
  40. Richard A. Ashley & Randall J. Verbrugge., 2006. "Mis-Specification in Phillips Curve Regressions: Quantifying Frequency Dependence in This Relationship While Allowing for Feedback," Working Papers e06-11, Virginia Polytechnic Institute and State University, Department of Economics.
  41. Richard A. Ashley. & Randall J. Verbrugge., 2006. "Mis-Specification and Frequency Dependence in a New Keynesian Phillips Curve," Working Papers e06-12, Virginia Polytechnic Institute and State University, Department of Economics.
  42. Leschinski, Christian & Sibbertsen, Philipp, 2014. "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP) dp-535, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  43. Paulo Rodrigues & Nazarii Salish, 2015. "Modeling and forecasting interval time series with threshold models," Advances in Data Analysis and Classification, Springer, vol. 9(1), pages 41-57, March.
  44. Bai, Jushan, 2010. "Common breaks in means and variances for panel data," Journal of Econometrics, Elsevier, vol. 157(1), pages 78-92, July.
  45. Neil Foster, 2006. "Exports, growth and threshold effects in Africa," Journal of Development Studies, Taylor & Francis Journals, vol. 42(6), pages 1056-1074.
  46. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
  47. Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004. "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
  48. Gillman, Max & Nakov, Anton, 2005. "Granger Causality of the Inflation-Growth Mirror in Accession Countries," CEPR Discussion Papers 4845, C.E.P.R. Discussion Papers.
  49. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
  50. Luca Benati, 2004. "Evolving post-World War II UK economic performance," Bank of England working papers 232, Bank of England.
  51. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
  52. Kim, Moosup & Lee, Taewook & Noh, Jungsik & Baek, Changryong, 2014. "Quasi-maximum likelihood estimation for multiple volatility shifts," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 50-60.
  53. Kurozumi, Eiji & Tuvaandorj, Purevdorj, 2011. "Model selection criteria in multivariate models with multiple structural changes," Journal of Econometrics, Elsevier, vol. 164(2), pages 218-238, October.
  54. James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  55. Philip Marey & Arnaud Dupuy, 2004. "Shifts and Twists in the Relative Productivity of Skilled Labor: Reconciling Accelerated SBTC with the Productivity Slowdown," Econometric Society 2004 North American Summer Meetings 118, Econometric Society.
  56. Benati, Luca, 2014. "Do TFP and the relative price of investment share a common I(1) component?," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 239-261.
  57. Michael B. Devereux & Woon Gyu Choi, 2004. "Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?," Econometric Society 2004 Far Eastern Meetings 666, Econometric Society.
  58. González-Val, Rafael & Marcén, Miriam, 2012. "Unilateral divorce versus child custody and child support in the U.S," Journal of Economic Behavior & Organization, Elsevier, vol. 81(2), pages 613-643.
  59. Liang Jiang & Xiaohu Wang & Jun Yu, 2014. "On Bias in the Estimation of Structural Break Points," Working Papers 22-2014, Singapore Management University, School of Economics.
  60. Andreea Halunga & Denise Osborn & Marianne Sensier, 2007. "Changes in the order of integration of US and UK inflation," The School of Economics Discussion Paper Series 0715, Economics, The University of Manchester.
  61. Peter Claeys & Raúl Ramos & Jordi Suriñach, 2007. "Fiscal Sustainability Across Government Tiers," Working Papers XREAP2007-14, Xarxa de Referència en Economia Aplicada (XREAP), revised 2007.
  62. Chang, C-L. & Khamkaew, T. & McAleer, M.J., 2009. "A Panel Threshold Model of Tourism Specialization and Economic Development," Econometric Institute Research Papers EI 2009-40, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  63. PERRON, Benoît, 1999. "Jumps in the Volatility of Financial Markets," Cahiers de recherche 9912, Universite de Montreal, Departement de sciences economiques.
  64. Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
  65. Benati, Luca, 2006. "Drift and Breaks in Labour Productivity," CEPR Discussion Papers 5801, C.E.P.R. Discussion Papers.
  66. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
  67. Ana Badagián & Regina Kaiser & Daniel Peña, 2013. "The change-point problem and segmentation of processes with conditional heteroskedasticity," Statistics and Econometrics Working Papers ws131718, Universidad Carlos III, Departamento de Estadística y Econometría.
  68. Clements, Michael P. & Galvao, Ana Beatriz, 2004. "A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure," International Journal of Forecasting, Elsevier, vol. 20(2), pages 219-236.
  69. Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
  70. Marianne Sensier & Dick van Dijk, 2004. "Testing for Volatility Changes in U.S. Macroeconomic Time Series," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 833-839, August.
  71. Tierney, Heather L.R., 2009. "Evaluating Exclusion-from-Core Measures of Inflation using Real-Time Data," MPRA Paper 17856, University Library of Munich, Germany.
  72. Scharff, Juliane & Nautz, Dieter, 2006. "Inflation and relative price variability in the euro area: evidence from a panel threshold model," Discussion Paper Series 1: Economic Studies 2006,14, Deutsche Bundesbank, Research Centre.
  73. Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  74. Dieter Nautz & Till Strohsal, 2014. "Are US Inflation Expectations Re-Anchored?," SFB 649 Discussion Papers SFB649DP2014-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  75. Chong, Terence Tai Leung & Yan, Isabel K., 2014. "Estimating and Testing Threshold Regression Models with Multiple Threshold Variables," MPRA Paper 54732, University Library of Munich, Germany.
  76. Rituparna Kar & Nityananda Sarkar, 2006. "Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation," Asia-Pacific Financial Markets, Springer, vol. 13(1), pages 41-69, March.
  77. 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.
  78. Morana, Claudio, 2004. "A structural common factor approach to core inflation estimation and forecasting," Working Paper Series 0305, European Central Bank.
  79. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
  80. 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.
  81. R. Velazquez & A.E. Noriega & L.M. Soria, 2004. "International Evidence on Monetary Neutrality Under Broken Trend Stationary Models," Econometric Society 2004 Latin American Meetings 57, Econometric Society.
  82. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Society for Computational Economics, vol. 41(1), pages 101-123, January.
  83. Hansen, Bruce E, 1999. " Testing for Linearity," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 551-76, December.
  84. Strikholm, Birgit, 2006. "Determining the number of breaks in a piecewise linear regression model," SSE/EFI Working Paper Series in Economics and Finance 648, Stockholm School of Economics.
  85. Nasser Ary Tanimoune & Jean-Louis Combes & Patrick Plane, 2008. "La politique budgétaire et ses effets de seuil sur l’activité en Union Économique et Monétaire Ouest-Africaine (UEMOA)," Économie et Prévision, Programme National Persée, vol. 186(5), pages 145-162.
  86. Chang, Ting-Huan & Huang, Chien-Ming & Lee, Ming-Chih, 2009. "Threshold effect of the economic growth rate on the renewable energy development from a change in energy price: Evidence from OECD countries," Energy Policy, Elsevier, vol. 37(12), pages 5796-5802, December.
  87. Joakim Westerlund & David L. Edgerton, 2007. "New Improved Tests for Cointegration with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(2), pages 188-224, 03.
  88. Joakim Westerlund, . "Heteroskedasticity Robust Panel Unit Root tests," Financial Econometics Series 2014_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  89. Carlisle E. Moody, 2015. "Firearms and the Decline of Violence in Europe: 1200-2010," Working Papers 158, Department of Economics, College of William and Mary.
  90. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
  91. Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research.
  92. Eugene Canjels & Gauri Prakash-Canjels & Alan M. Taylor, 2004. "Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913," NBER Working Papers 10583, National Bureau of Economic Research, Inc.
  93. Rafi Melnick & Till Strohsal, 2015. "From Galloping Inflation to Price Stability in Steps: Israel 1985–2013," SFB 649 Discussion Papers SFB649DP2015-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  94. Mark W. French, 2001. "Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework," Finance and Economics Discussion Series 2001-44, Board of Governors of the Federal Reserve System (U.S.).
  95. Westerlund, Joakim & Edgerton , David, 2005. "Panel Cointegration Tests with Deterministic Trends and Structural Breaks," Working Papers 2005:42, Lund University, Department of Economics.
  96. Cooper, Suzanne & Piehl, Anne Morrison & Braga, Anthony & Kennedy, David, 2001. "Testing for Structural Breaks in the Evaluation of Programs," Working Paper Series rwp01-019, Harvard University, John F. Kennedy School of Government.
  97. J. Jouini & M. Boutahar, 2003. "Structural breaks in the U.S. inflation process: a further investigation," Applied Economics Letters, Taylor & Francis Journals, vol. 10(15), pages 985-988.
  98. Cho-Hoi Hui & Lillie Lam, 2008. "What Drives Hong Kong Dollar Swap Spreads: Credit or Liquidity?," Working Papers 0810, Hong Kong Monetary Authority.
  99. Merih Uctum & Remzi Uctum, 2005. "Portfolio Flows, Foreign Direct Investment, Crises," Computing in Economics and Finance 2005 224, Society for Computational Economics.
  100. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Department of Economics, University of Leicester.
  101. Elliott, Graham & Muller, Ulrich K., 2007. "Confidence sets for the date of a single break in linear time series regressions," Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
  102. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
  103. Oleg Glouchakov, 2006. "Joint change point estimation in regression coeffcients and variances of the errors of a linear model," Working Papers 2006_3, York University, Department of Economics.
  104. Richard Ashley & Randal Verbrugge, 2009. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 4-20.
  105. Douglas O. Staiger & James H. Stock & Mark W. Watson, 1997. "How Precise Are Estimates of the Natural Rate of Unemployment?," NBER Chapters, in: Reducing Inflation: Motivation and Strategy, pages 195-246 National Bureau of Economic Research, Inc.
  106. Uwe Dulleck & Neil Foster, 2007. "Imported Equipment, Human Capital and Economic Growth in Developing Countries," NCER Working Paper Series 16, National Centre for Econometric Research.
  107. Uctum, Merih & Uctum, Remzi, 2011. "Crises, portfolio flows, and foreign direct investment: An application to Turkey," Economic Systems, Elsevier, vol. 35(4), pages 462-480.
  108. Mihaela Craioveanu & Eric Hillebrand, 2012. "Level changes in volatility models," Annals of Finance, Springer, vol. 8(2), pages 277-308, May.
  109. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“On the bi-directional causal relationship between public debt and economic growth in EMU countries”," IREA Working Papers 201512, University of Barcelona, Research Institute of Applied Economics, revised May 2015.
  110. Jean-Yves Pitarakis, 2004. "Least squares estimation and tests of breaks in mean and variance under misspecification," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 32-54, 06.
  111. Stefan Avdjiev & Zheng Zeng, 2014. "Credit growth, monetary policy and economic activity in a three-regime TVAR model," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2936-2951, August.
  112. Daniel Dias & Carlos Robalo Marques, 2005. "Using Mean Reversion as a Measure of Persistence," Working Papers w200503, Banco de Portugal, Economics and Research Department.
  113. González-Val, Rafael & Marcén, Miriam, 2012. "Breaks in the breaks: An analysis of divorce rates in Europe," International Review of Law and Economics, Elsevier, vol. 32(2), pages 242-255.
  114. John B. Carlson & Eduard A. Pelz & Mark Wohar, 2001. "Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests," Working Paper 0113, Federal Reserve Bank of Cleveland.
  115. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo Group Munich.
  116. Chen, Ping-Yu & Chen, Chi-Chung & Chang, Chia-Lin, 2011. "Multiple Threshold Effects for Temperature and Mortality," MPRA Paper 35521, University Library of Munich, Germany.
  117. Betty Daniel, Christos Shiamptanis, 2015. "Predicting Sovereign Fiscal Crises: High-Debt Developed Countries," LCERPA Working Papers 0090, Laurier Centre for Economic Research and Policy Analysis, revised 05 May 2015.
  118. Schröder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," MPRA Paper 52379, University Library of Munich, Germany.
  119. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI), Brussels.
  120. Stephen G Cecchetti & Alfonso Flores-Lagunes & Stefan Krause, 2005. "Assessing the Sources of Changes in the Volatility of Real Growth," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.
  121. Marcelle Chauvet & Zeynep Senyuz, 2012. "A dynamic factor model of the yield curve as a predictor of the economy," Finance and Economics Discussion Series 2012-32, Board of Governors of the Federal Reserve System (U.S.).
  122. Bilke, Laurent, 2005. "Break in the mean and persistence of inflation: a sectoral analysis of French CPI," Working Paper Series 0463, European Central Bank.
  123. Falvey, Rod & Foster, Neil & Greenaway, David, 2007. "Relative backwardness, absorptive capacity and knowledge spillovers," Economics Letters, Elsevier, vol. 97(3), pages 230-234, December.
  124. Yu, Ping, 2015. "Consistency of the least squares estimator in threshold regression with endogeneity," Economics Letters, Elsevier, vol. 131(C), pages 41-46.
  125. Strikholm, Birgit & Teräsvirta, Timo, 2005. "Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions," SSE/EFI Working Paper Series in Economics and Finance 578, Stockholm School of Economics, revised 11 Feb 2005.
  126. F. Pérez de Gracia & J. Cuñado; J. Gómez, 2004. "Financial Liberalization and Emerging Stock Market Volatility," Computing in Economics and Finance 2004 124, Society for Computational Economics.
  127. Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
  128. Mohamed Boutahar & Jamel Jouini, 2007. "A Methodology For Detecting Breaks In The Mean And Covariance Structure Of Time Series," Working Papers halshs-00354249, HAL.
  129. Max Gillman & Mark N Harris & Michal Kejak, 2007. "The Interaction of Inflation and Financial Development with Endogenous Growth," Money Macro and Finance (MMF) Research Group Conference 2006 29, Money Macro and Finance Research Group.
  130. Ping Yu & Peter C.B. Phillips, 2014. "Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers 1966, Cowles Foundation for Research in Economics, Yale University.
  131. Galeano, Pedro & Wied, Dominik, 2014. "Multiple break detection in the correlation structure of random variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 262-282.
  132. Cunado, Juncal & Gomez Biscarri, Javier & Perez de Gracia, Fernando, 2006. "Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization," Emerging Markets Review, Elsevier, vol. 7(3), pages 261-278, September.
  133. 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.
  134. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society.
  135. Trimbur, Thomas M., 2010. "Stochastic level shifts and outliers and the dynamics of oil price movements," International Journal of Forecasting, Elsevier, vol. 26(1), pages 162-179, January.
  136. Nautz, Dieter & Strohsal, Till, 2015. "Are US inflation expectations re-anchored?," Economics Letters, Elsevier, vol. 127(C), pages 6-9.
  137. 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.
  138. Paraskevi Salamaliki, 2015. "Economic Policy Uncertainty and Economic Activity: A Focus on Infrequent Structural Shifts," Working Paper Series of the Department of Economics, University of Konstanz 2015-08, Department of Economics, University of Konstanz.
  139. Bilke, L., 2005. "Break in the Mean and Persistence of Inflation: a Sectoral Analysis of French CPI," Working papers 122, Banque de France.
  140. gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, EconWPA.
  141. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
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