Structural breaks
Investigating detrended fluctuation analysis with structural breaks
... Forecast Accuracy We now turn to evaluate the forecast accuracy of our modified model of detrended fluctuation analysis with endogenous structural breaks, using ex post in-sample and out[r] ...
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SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY
... (structural breaks) occurring at the moment when some external shocks or other unexpected, profound shifts in economic background ...of structural breaks in volatility, employing several ...
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Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks
... The results reject the null hypothesis of no cointegration at the 1% level in all the tests and indicate that there is a breakpoint in the series at about 39% of the time period analyzed for the level shift and level ...
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Cointegration and structural breaks in the PIIGS economies
... possible structural changes in the stock market and interest rate variables (in PIIGS states) as well as the relationship between ...(2 breaks) were employed to test for the presence of structural ...
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DISSERTATION DOUBLE UNIT TESTS IN THE PRESENCE OF STRUCTURAL BREAKS FRANCISCO ANTÓNIO TEIXEIRA MENDONÇA
... of breaks in the trend function of economic and financial data, and its effect on the OLS estimators and unit root ...of structural breaks dramatically decreased the power of the Dickey Fuller (DF) ...
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Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries
... no structural break in the government debt ...of structural changes in the trend function, ADF and PP tests that do not take into account the break in the series have low power, and are biased toward the ...
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Cointegration and Structural Breaks in the EU Sovereign Debt Crisis
... A limitation of the ADF-type endogenous break unit root tests, e.g. ZA and LP tests, is that critical values are derived while assuming no break(s) under the null. Nunes et al. [30] and Lee and Strazicich [22- 23] showed ...
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Rev. Bras. Econ. vol.68 número3
... Table 8 Panels A and B shows the estimated ρ for this specification. Due to the limitations of unemployment data in our sample, we cannot use as regressors dummies of structural breaks for almost all ...
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Rev. Bras. Econ. vol.65 número3
... with structural breaks, which were responsible for the high degree of persistence in the series detected in the initial fractional integration ...with structural breaks makes no difference in ...
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Estud. Econ. vol.39 número4
... We start our analysis by checking the autocorrelations of the series in level and first-differences. However, there is a more precise way to find out whether a series is fractionally integrated or not, which is the point ...
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INSTITUTO SUPERIOR DE ECONOMIA E GESTÃO
... ity: structural breaks and regime switching in long term aggregate time ...are structural breaks in monthly excess returns between pre-WWII and post-WWII data; and, (2) while pre-WWII data is ...
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On the purchasing power parity for Latin-American countries
... The purpose of this paper is to test the hypothesis of long-run purchasing power parity (PPP) for all Latin American countries. These countries share similar economic history and contagious effects from currency crises, ...
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Assessing the Sustainability of External Imbalances in the European Union
... determined) structural breaks using recent techniques that also address cross-sectional dependence, which to our knowledge has never been applied in this ...
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Fiscal Sustainability: the Unpleasant European Case
... Quite a few studies have already addressed the issue of fiscal policy sustainability and provided empirical testing of the Present Value Borrowing Constraint (PVBC) 1 . The main analytical apparatus used to analyse the ...
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Nova School of Business and Economics Universidade Nova de Lisboa
... unmodeled structural breaks in the deterministic trend one can hardly reject the unit root hypothesis even if the series is trend stationary (albeit with ...a structural break to occur under the null ...
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AUTOMATIC FIRST-BREAKS PICKING USING LINEAR MOVEOUT CORRECTION AND COMPLEX SEISMIC TRACES
... Traditionally, time determination corresponding to first break was done by visual inspection of amplitudes and picks were made manually. Depending on seismic data volume and quality, first break picking process can take ...
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Journal of Structural Geology
... Although our experiments 2 and 3 consisted of a different set-up (our models are initially horizontal), used different granular materials and did not involve the sedimentation device of [r] ...
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Radiation dose determines the method for quantifi cation of DNA double strand breaks
... Immunofl uorescence microscopy enabled in situ visualization of each DNA DSB separately, as well as the distribution of breaks inside the nucleus of a single cell (Hu et al. 2005). Before counting, CellProfiler ...
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art fnafreire structural
... of structural properties of CRFO100, FCTO100 and their composites is a significant stage to conjecture about their possible applications in microwave (MW) and radiofre- quency (RF) technology, owing to their ...
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Inversion in everyday life: social practices and breaks in contemporary urban life.
... A ênfase dada por Certeau ao cotidiano como uma espécie de campo de batalha, cujas táticas precisam encontrar modos inventivos de escape e confrontação em cada situação, rompe não apenas[r] ...
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