A model selection approach to jointly testing for structural breaks and cointegration with application to the Eurocurrency interest rates market
Sign Up to like & getrecommendations! Published in 2020 at "Empirical Economics"
DOI: 10.1007/s00181-020-01916-1
Abstract: All tests involving both structural breaks and cointegration are parametric. As a complement to the classical hypothesis testing for empirical researchers, we suggest the use of a one-step model selection approach to simultaneously specifying lag… read more here.
Keywords: structural breaks; cointegration; model selection; breaks cointegration ... See more keywords
Renewable energy-economic growth nexus revisited for the USA: do different approaches for modeling structural breaks lead to different findings?
Sign Up to like & getrecommendations! Published in 2022 at "Environmental Science and Pollution Research"
DOI: 10.1007/s11356-021-17684-z
Abstract: It can be observed from the existing energy literature the previous papers investigating the influence of renewables consumption on GDP for the USA commonly ignore structural breaks in the US economy. Hence, the purpose of… read more here.
Keywords: energy; economic growth; renewable energy; structural breaks ... See more keywords
Iranian inflation: peristence and structural breaks
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DOI: 10.1007/s12197-018-9446-x
Abstract: This paper investigates the behavior of the inflation rate in Iran for the time period 1992–2017 using fractional integration. The results indicate an extremely large degree of persistence in the series, with an order of… read more here.
Keywords: inflation peristence; structural breaks; finance; iranian inflation ... See more keywords
Structural breaks in Taylor rule based exchange rate models — Evidence from threshold time varying parameter models
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DOI: 10.1016/j.econlet.2016.11.008
Abstract: In this note we develop a Taylor rule based empirical exchange rate model for eleven major currencies that endogenously determines the number of structural breaks in the coefficients. Using a constant parameter specification and a… read more here.
Keywords: structural breaks; time varying; taylor rule; rule based ... See more keywords
Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market
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DOI: 10.1016/j.econmod.2016.11.004
Abstract: Economic data is typically subject to a number of different forms of structural breaks. Ignoring structural breaks in a model can lead to misspecification issues and false conclusions. This paper proposes a new Autoregressive Distributive… read more here.
Keywords: adl cointegration; structural breaks; breaks new; cointegration test ... See more keywords
On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks
Sign Up to like & getrecommendations! Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104781
Abstract: We introduce Infinite Hidden Markov (IHM) models to forecasting realized volatilities of crude oil futures markets with exogenous factors. With these IHM models, we lift the restriction of a pre-defined number of regimes and allow… read more here.
Keywords: oil futures; structural breaks; futures markets; crude oil ... See more keywords
Structural breaks in online investor sentiment: A note on the nonstationarity of financial chatter
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DOI: 10.1016/j.frl.2020.101479
Abstract: Abstract Given the increasing interest in investor sentiment derived from social media platforms, we address one overlooked question – are there structural breaks in online investor sentiment? We cast the problem of break-point estimation in… read more here.
Keywords: online investor; investor sentiment; breaks online; structural breaks ... See more keywords
A re-analysis to identify the structural breaks in COVID-19 transmissibility during the early phase of the outbreak in South Korea
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DOI: 10.1016/j.ijid.2020.08.061
Abstract: This is a re-analysis of the outbreak in South Korea was performed, and we argue that there was likely more than one structural break in the local SARS-CoV-2 transmission To explore and examine the structural… read more here.
Keywords: structural breaks; south korea; covid transmissibility; outbreak south ... See more keywords
Structural breaks in CO2 emissions: Are they caused by climate change protests or other factors?
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DOI: 10.1016/j.jenvman.2020.110628
Abstract: In recent times, there has been increase in climate change protest across the globe. However, whether decrease in emissions is connected with climate change protest or not is yet to be documented in the literature.… read more here.
Keywords: structural breaks; change; co2 emissions; climate change ... See more keywords
True or spurious long memory in European non-EMU currencies
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DOI: 10.1016/j.ribaf.2017.01.003
Abstract: We examine the Croatian Kuna, the Czech Koruna, the Hungarian Forint, the Polish Zloty, the Romanian Leu, and the Swedish Krona whether their Euro exchange rates volatility exhibits true or spurious long memory. Recent research… read more here.
Keywords: structural breaks; true spurious; long memory; exchange ... See more keywords
Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
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DOI: 10.1080/07474938.2017.1411431
Abstract: ABSTRACT This paper assesses the econometric and economic value consequences of neglecting structural breaks in dynamic correlation models and in the context of asset allocation framework. It is shown that changes in the parameters of… read more here.
Keywords: neglecting structural; asset allocation; breaks estimating; structural breaks ... See more keywords