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Author : Titus O. Awokuse
Release : 1998
Genre :
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Book Synopsis Model Identification and Forecasting Under Structural Break by : Titus O. Awokuse
Download or read book Model Identification and Forecasting Under Structural Break written by Titus O. Awokuse. This book was released on 1998. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bonsoo Koo
Release : 2015
Genre :
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Book Synopsis Structural-Break Models Under Mis-specification by : Bonsoo Koo
Download or read book Structural-Break Models Under Mis-specification written by Bonsoo Koo. This book was released on 2015. Available in PDF, EPUB and Kindle. Book excerpt: This paper revisits the least squares estimator of the linear regression with a structural break. We view the model as an approximation to the true data generating process whose exact nature is unknown but perhaps changing over time either continuously or with some jumps. This view is widely held in the forecasting literature and under this view, the time series dependence property of all the observed variables is unstable as well. We establish that the rate of convergence of the estimator to a properly defined limit is much slower than the standard super consistent rate, even slower than the square root of the sample size T and as slow as the cube root of T. We also provide an asymptotic distribution of the estimator and that of the Gaussian quasi likelihood ratio statistic for a certain class of true data generating process. We relate our finding to current forecast combination methods and bagging and propose a new averaging scheme. The performance of various contemporary forecasting methods is compared to ours using a number of macroeconomic data.
Author : Walter Krämer
Release : 2012-12-06
Genre : Business & Economics
Kind : eBook
Book Rating : 123/5 ( reviews)
Book Synopsis Econometrics of Structural Change by : Walter Krämer
Download or read book Econometrics of Structural Change written by Walter Krämer. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Author : Jörg Breitung
Release : 2016
Genre :
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Book Synopsis Testing for Structural Breaks in Dynamic Factor Models by : Jörg Breitung
Download or read book Testing for Structural Breaks in Dynamic Factor Models written by Jörg Breitung. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks. It is shown that structural breaks severely inflate the number of factors identified by the usual information criteria. Based on the strict factor model the hypothesis of a structural break is tested by using Likelihood-Ratio, Lagrange-Multiplier and Wald statistics. The LM test which is shown to perform best in our Monte Carlo simulations, is generalized to factor models where the common factors and idiosyncratic components are serially correlated. We also apply the suggested test procedure to a US dataset used in Stock and Watson (2005) and a euro-area dataset described in Altissimo et al. (2007). We find evidence that the beginning of the so-called Great Moderation in the US as well as the Maastricht treaty and the handover of monetary policy from the European national central banks to the ECB coincide with structural breaks in the factor loadings. Ignoring these breaks may yield misleading results if the empirical analysis focuses on the interpretation of common factors or on the transmission of common shocks to the variables of interest.
Author : Michael P. Clements
Release : 2011-07-08
Genre : Business & Economics
Kind : eBook
Book Rating : 645/5 ( reviews)
Book Synopsis The Oxford Handbook of Economic Forecasting by : Michael P. Clements
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements. This book was released on 2011-07-08. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
