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Cointegration Tests in the Presence of Structural Breaks [PDF]
International Finance Discussion Papers, 1993 Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, using recently developed recursive Monte Carlo techniques, this paper investigates the properties of several cointegration tests when the marginal process of one of the variables in the cointegrating relationship is stationary with a structural break.
David F. Hendry +2 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
doaj +1 more source
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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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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Static and Dynamic Structural Symmetry Breaking [PDF]
Annals of Mathematics and Artificial Intelligence, 2006 We reconsider the idea of structural symmetry breaking (SSB) for constraint satisfaction problems (CSPs). We show that the dynamic dominance checks used in symmetry breaking by dominance-detection search for CSPs with piecewise variable and value symmetries have a static counterpart: there exists a set of constraints that can be posted at the root node
Pierre Flener +3 more
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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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Structural Breaks in an Endogenous Growth Model [PDF]
SSRN Electronic Journal, 2020 Abstract We study the effects of parameter uncertainty prompted by structural breaks. In our model, agents respond differently to uncertainty prompted by regime shifts in shock processes than they react to comparable perceived increases in shock volatility.
Cogley, Timothy, Jovanovic, Boyan
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Mind the Break! Accounting for Changing Patterns of Growth during Transition [PDF]
, 2004 We argue that econometric analyses based on transition countries’ data can be vulnerable to structural breaks across time and/or countries. We demonstrate this argument by identifying structural breaks in growth regressions estimated with data for 25 ...
Ariane Tichit, Jan Fidrmuc
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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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