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ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS [PDF]
Econometric Theory, 2002 This paper proposes robust M-estimators of dynamic linear models with a structural break of unknown location. Rates of convergence and limiting distributions for the estimated shift point and the estimated regression parameters are derived. The analysis is carried out in the framework of possibly dependent observations and also with trending ...
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Robust GMM tests for structural breaks [PDF]
Journal of Econometrics, 2003 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gagliardini, Patrick +2 more
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Smooth Break Detection and De-Trending in Unit Root Testing
Mathematics, 2021 This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions
Furkan Emirmahmutoglu +3 more
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Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model
East Asian Economic Review, 2011 This paper explores the issue of structural breaks and long memory property in the conditional variance process of the Korean exchange rates. To analyze the above in detail, this paper examines the dynamics of the structural breaks and the long memory in
Young Wook Han
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Ice breaking in GPCR structural biology [PDF]
Acta Pharmacologica Sinica, 2012 G-protein-coupled receptors (GPCRs) are one of the most challenging targets in structural biology. To successfully solve a high-resolution GPCR structure, several experimental obstacles must be overcome, including expression, extraction, purification, and crystallization.
Qiang, Zhao, Bei-li, Wu
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Journal of Economic Structures, 2019 In this article, we provide new, novel evidence for a more recent structural break (in 2010) indicating a greater moderation of output volatility compared to the well-known break during the mid-1980s. The period of analysis runs from 1962Q2 to 2018Q3. It
Hasan Engin Duran
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Unit Roots and Structural Breaks [PDF]
, 2018 This book deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proved to be of importance to devise procedures that are reliable for inference and forecasting. Several important contributions have been made.
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Seasonal Unit Root Tests Under Structural Breaks* [PDF]
Journal of Time Series Analysis, 2004 Abstract. 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.
Hassler, Uwe, Rodrigues, Paulo M. M.
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Intertemporal current account sustainability in the presence of structural breaks [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2018 We examined the hypothesis of current account sustainability in Czech Republic, Hungary, Poland and Serbia. Our motivation for the research study has grown from the deficiency of similar kind of studies for these countries in the observed period. This
Miomir Jakšić +2 more
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Structural Break Tests Robust to Regression Misspecification [PDF]
Econometrics, 2016 Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series process exhibits severe size distortions when the conditional mean dynamics are misspecified.
Alaa, Α.Μ. +5 more
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