Arbeitspapier
Nonlinear modelling of autoregressive structural breaks in a US diffusion index dataset
This paper applies a new model of structural breaks developed by Kapetanios and Tzavalis (2004) to investigate if there exist structural changes in the mean reversion parameter of US macroeconomic series. Ignoring such type of breaks may lead to spurious evidence of unit roots in the autoregressive parameters of economic series. Our model specifies that both the timing and size of breaks are stochastic. We apply the model to a variety of macroeconomic and finance series from the US.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 537
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Structural breaks, State space model, Nonlinearity
Strukturbruch
Schätzung
USA
Zustandsraummodell
Nichtlineares Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
Tzavalis, Elias
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Tzavalis, Elias
- Queen Mary University of London, Department of Economics
Entstanden
- 2005
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