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Author : Alaa Abi Morshed
Release : 2016
Genre :
Kind : eBook
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Book Synopsis Structural Break Tests Robust to Regression Misspecification by : Alaa Abi Morshed
Download or read book Structural Break Tests Robust to Regression Misspecification written by Alaa Abi Morshed. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yaein Baek
Release : 2019
Genre :
Kind : eBook
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Book Synopsis Essays on Structural Breaks and Forecasting in Econometric Models by : Yaein Baek
Download or read book Essays on Structural Breaks and Forecasting in Econometric Models written by Yaein Baek. This book was released on 2019. Available in PDF, EPUB and Kindle. Book excerpt: Instability of parametric models is a common problem in many fields of economics. In econometrics, these changes in the underlying data generating process are referred to as structural breaks. Although there is an extensive literature on estimation and statistical tests of structural breaks, existing methods fail to adequately capture a break. This dissertation consists of three papers on developing econometric methods for structural breaks and forecasting. The first chapter develops a new method in estimating the location of a structural break in a linear model and provide theoretical results and empirical applications of the estimator. In finite sample the conventional least-squares estimates a break occurred at either ends of the sample with high probability, regardless of the true break point. I suggest an estimator of the break point that resolves this pile up issue and thus, provide a more accurate estimate of the break. The second chapter constructs a statistical test to test existence of a structural break when the direction of the parameter shift is known. In practice it is likely that a researcher is interested in testing for a structural break in a particular direction because the direction is known, such as policy change or historical data. We incorporate this information in constructing three tests that have higher power when direction is correctly specified. The last chapter proposes a multi-period forecasting method that is robust to model misspecification. When we are interested in obtaining long horizon ahead forecasts, the direct forecast method is more favorable than the iterated forecast because it is more robust to misspecification. However, direct forecast estimates tend to have jagged shapes across horizons. I use a mechanism analogous to ridge regression on the direct forecast model to maintain robustness while smoothing out erratic estimates.
Author : Eric Neumayer
Release : 2017-08-17
Genre : Business & Economics
Kind : eBook
Book Rating : 393/5 ( reviews)
Book Synopsis Robustness Tests for Quantitative Research by : Eric Neumayer
Download or read book Robustness Tests for Quantitative Research written by Eric Neumayer. This book was released on 2017-08-17. Available in PDF, EPUB and Kindle. Book excerpt: This highly accessible book presents robustness testing as the methodology for conducting quantitative analyses in the presence of model uncertainty.
Author : Uwe Hassler
Release : 2004
Genre :
Kind : eBook
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Book Synopsis Seasonal Unit Root Tests Under Structural Breaks by : Uwe Hassler
Download or read book Seasonal Unit Root Tests Under Structural Breaks written by Uwe Hassler. This book was released on 2004. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test, as well as an LM variant thereof, are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions and power reductions when breaks are present. Hence, a new break corrected LM test is proposed to overcome this problem. Importantly, the correction for seasonal mean shifts bears no consequence on the limiting distributions, thereby maintaining the legitimacy of canonical critical values. Moreover, although this test assumes a breakpoint a priori, it is robust in terms of misspecification of the time of the break. This asymptotic property is well reproduced in finite samples. Based on a Monte-Carlo study, our new test is compared with other procedures suggested in the literature and shown to hold superior finite sample properties.
Author : Sergei Antoshin
Release : 2008-03
Genre : Computers
Kind : eBook
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Book Synopsis Testing for Structural Breaks in Small Samples by : Sergei Antoshin
Download or read book Testing for Structural Breaks in Small Samples written by Sergei Antoshin. This book was released on 2008-03. Available in PDF, EPUB and Kindle. Book excerpt: In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to determine sample-specific critical values under the each time the test is run. We draw on the results of our simulations to offer practical suggestions on handling serial correlation, model misspecification, and the use of alternative test statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 observations, our proposed modifications perform substantially better.
