Results 11 to 20 of about 643,110 (307)
Learning, forecasting and structural breaks [PDF]
Journal of Applied Econometrics, 2008 AbstractWe provide a general methodology for forecasting in the presence of structural breaks induced by unpredictable changes to model parameters. Bayesian methods of learning and model comparison are used to derive a predictive density that takes into account the possibility that a break will occur before the next observation.
John M Maheu, Stephen Gordon
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Detecting and Quantifying Structural Breaks in Climate
Econometrics, 2022 Structural breaks have attracted considerable attention recently, especially in light of the financial crisis, Great Recession, the COVID-19 pandemic, and war.
Neil R. Ericsson +2 more
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Scalable structural break detection [PDF]
Applied Soft Computing, 2012 This paper deals with a statistical model fitting procedure for non-stationary time series. This procedure selects the parameters of a piecewise autoregressive model using the Minimum Description Length principle. The existing chromosome representation of the piecewise autoregressive model and its corresponding optimisation algorithm are improved ...
Elteto, Tamas +3 more
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Menguji keberadaan structural breaks pada transmisi kebijakan moneter di Indonesia
Journal of Enterprise and Development, 2019 Purpose — This paper investigates the presence of structural breaks in order to determine the regime shift in case of Indonesia economy. Research method — We use the Bai-Perron (2003) to test the breaks within the period of January 2014 – December 2018 ...
Imronjana Syapriatama +1 more
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Are Stock Markets among BRICS Members Integrated? A Regime Shift-Based Co-Integration Analysis
Economies, 2022 Long-run relationships and structural breaks have often been confused so that many investigators ignore the structural breaks in long-run stock price relationships.
Ayesha Siddiqui +3 more
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The Macroeconomic Impact of the Euro
Scientific Annals of Economics and Business, 2019 This paper examines whether the establishment of the euro caused structural breaks in the main macroeconomic relationships of member countries. It compares eight original members of the common currency with four European countries that did not join.
Veronika Akhmadieva, Ron P. Smith
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Estimating Structural Changes in the Vertical Price Relationships in U.S. Beef and Pork Markets
Journal of Agricultural and Resource Economics, 2010 This paper examines structural breaks in the vertical price relationships in U.S. beef/cattle and pork/hog sectors using monthly data of the past 40 years.
Brenda L. Boetel, Donald J. Liu
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ENERGY PRODUCTIVITY, ENERGY DEPENDENCE AND ECONOMIC GROWTH IN EXTENDED EUROPE
Verimlilik Dergisi, 2022 Purpose: Energy is used in all areas of production and is crucial for economic growth. This study aims to empirically analyze the relationship between energy productivity, economic growth, and energy use in 35 European countries, for the period of 1990 ...
Natalya Ketenci, Ayşe Sevencan
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The Equity Premium And Structural Breaks [PDF]
SSRN Electronic Journal, 1998 A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the premium is associated, in part, with volatility.
Pastor, Lubos, Stambaugh, Robert F
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Long Memory and Structural Breaks: An Application to the Tehran Stock Exchange Index (TEPIX) Returns [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2015 The aim of this study is to investigate the long memory properties along with structural breaks in the returns of the TEPIX. For this purpose, the properties of the long memory in the daily returns for three periods leading to September 23, 2013 were ...
Ahmad Gholi Barkish
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