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2
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0answers
33 views

Untangling lump samp panel data?

Edit: Context: I am estimating persistence analog Heckman (1981) based on firm level data. The endogenous variable is the distribution amount of profits directed to the owners. To estimate ...
0
votes
1answer
18 views

How order of stuctural breakpoints is decided?

Using 'breakpoints' command in R, I got multiple breakpoints. Yet if I limited the number of breakpoints to 1. It gives just a single breakpoint as desirable. How is this 1st breakpoint is decided and ...
0
votes
0answers
24 views

Is there a relationship between confidence intervals and change point detection criteria?

I'm trying to use both forecasting and change point detection on a regression model, i.e. I want to see the forecasts of the regression model (package forecast) and run an "online" change point ...
3
votes
0answers
103 views

Strucchange R package: correcting heteroskedasticity and autocorrelation [closed]

I’ve got a question concerning the R package strucchange that I use for testing and dating structural breaks in my PhD thesis. To be specific, I use the generalized fluctuation test framework with ...
3
votes
0answers
63 views

Understanding Chib (1998) Bayesian multiple changepoint model

Ungated link to the paper Chib, S. (1998). Estimation and comparison of multiple change-point models. Journal of Econometrics, 86(2), 221–241. doi:10.1016/S0304-4076(97)00115-2 The context of the ...
1
vote
1answer
68 views

structural break

Say I have the equation: $y_t = \alpha + \beta*\text{time}$ I'm looking for a structural break test that allows both parameters ($\alpha$ and $\beta$) to potentially change with a structural break. ...
6
votes
4answers
424 views

Detecting changes in time series (R example)

I would like to detect changes in time series data, which usually has the same shape. So far I've worked with the changepoint package for R and the ...
0
votes
1answer
43 views

Is there a Chow test for higher dimensions?

With the original Chow test, you can only test two regressions vs a general one to see a structural change. Is there a Chow test that can test structural change in 3,4...N regressions for structural ...
3
votes
1answer
29 views

Correlation on ordered subset

Imagine a hypothetical scenario in which a ball is thrown along a straight line. During flight, the position is continually sampled; however, at some distance, the sampling fails and only noise is ...
0
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0answers
10 views

Structural changes in the observed standard deviation

Supposing to have a stochastic process with known normal distribution N(m,s) we can observe samples from. For quality test purpose, we define a threshold for good/bad samples equal to 3 standard ...
4
votes
1answer
384 views

strucchange package on ARIMA model

Is there a way to use strucchange package in R on ARIMA models? I haven't been able to find any. Thanks a lot.
1
vote
1answer
408 views

structural breaks in time series using matlab

in a plot of my time series there is clearly visible that there is structural break, but I have to find the exact date. I want test this with the chow test. Although I understand how to perform this ...
1
vote
0answers
122 views

Multiple Hypothesis testing correction on non-independent data

Consider a vector $X_i$ with $i \in [1,N]$. Let us say that you divide the vector into two $X_{i}'$ with $i \in [1,j]$ and $X_i''$ with $i \in [j+1, N]$ for several $j$; then for each pair of ...
3
votes
1answer
365 views

required: good and straightforward method to detect change points in dependent univariate time series using r

I know that there are many related threads, packages and papers. Currently I`m reading through many of them. However, I don't plan to dig too deeply into this topic. I need a sound method that works ...
2
votes
2answers
68 views

Determine if a % Change occurred

I'm trying to figure out if a change to a website that occurred on a specific date increased page views on that site by 5%. I have page view data for a month before the change and several weeks after. ...
0
votes
1answer
128 views

Chow Structural Test in R

I am sitting on a pile of data concerning wages at a local company and other information, such as the gender, whether the person in question belongs to a minority group etc. What I would like to ...
1
vote
1answer
176 views

How does one determine what ARL0 should be used on CPM package to test for Structural Change

I'm trying to find multiple break points by using processStream from CPM package on R. Can someone enlighten me on what is ...
2
votes
0answers
151 views

Stationarity and homoscedasticity in break tests

Let me start by saying that I'm really not an expert in statistics/econometrics. Now to my questions: I have a data set containing weekly prices of a stock. I want to check whether a structural break ...
1
vote
0answers
498 views

Idea of the Nyblom-Hansen test?

The Nyblom-Hansen test gives information about the stability of the estimated parameters in a model. As far as I understand this test, it looks at the score of the ML at evaluates, how near to zero ...
2
votes
1answer
178 views

Breakpoint for bivariate data

The breakpoint(s) estimation approach implemented in the strucchange package (Zeilei & al) seems to work very well (based on my little experience with this package on real case studies). Is ...
2
votes
2answers
312 views

Unit root test specification with a structural break

I am puzzled as to what specification I should include in my unit root tests of the following data: . I will use ADF, KPSS and ZA tests. I can see there is a break in trend at observation 9. However, ...
2
votes
1answer
108 views

Estimating point of phase transition

I have stochastic simulations that depend on a parameter $k$. As I vary $k$ the quantities I track vary gradually and then suddenly transition to very different values and continue to vary gradually ...
1
vote
2answers
350 views

Testing for structural breaks in GARCH Models

I am looking for a package in R that can test for structural Breaks in GARCH models. I have estimated my coefficients with rugarch, and I am highly suspicious that ...
3
votes
1answer
264 views

Finding structural breaks in heteroskedastic time series

I'm trying to identify structural breaks in the movement of reserve currencies. I'm not yet all that versed in the finer details of time series, but I've been reading up on ARCH and GARCH estimators. ...
1
vote
1answer
389 views

Strange results from Chow test - surprisingly significant p-value

I have a set of data, sampled once per year from 1990 to 2008. It looks more or less linear. However, doing a Chow test results in a significant p-value (0.003 and below), wherever I test for a ...
0
votes
0answers
77 views

Can we conclude structural break from the following results?

The following figure shows the log-likelihood of individual observations for different subsets of a data set - the horizontal line shows the average log-likelihood: So, the first subset includes ...
4
votes
0answers
179 views

Reference for implementing generalized likelihood ratio test to determine online whether time-series mean has shifted

What is a reference that describes the "generalized likelihood ratio" test to determine online (i.e., meaning that we add an observation, then check, then add an observation, then check) whether the ...
3
votes
2answers
251 views

How to model market share or a fraction of anything that sums to 100%?

Suppose we have sales of 3 products A, B and C which market share always sum up to 100%. How to model market share of product A using market shares of B and C? So that we will know that if share of A ...
0
votes
0answers
377 views

Interpretation of strucchange::breakpoints in R

OK. I've just read that a breakpoints object with "NA" means no significant structural breakpoint was found, which is fair enough. But then if you call summary() on that breakpoint object, it will ...
1
vote
1answer
355 views

strucchange breakpoints command: does NA mean no breaks are identified?

I am using the package strucchange to analyze a monthly time series. I read it in as a zoo object. The series looks something like this: ...
0
votes
1answer
2k views

R function breakpoints finds more breaks than Fstats

I am using the strucchange package to detect structural changes in my data. The plot of my Fstats shows several peaks, yet if I use ...
2
votes
5answers
5k views

How to detect structural change in a timeseries

Is there a specific method to detect change points(structural breaks) in a timeseries?(stocks prices) Thanks
0
votes
1answer
213 views

Is this a CUSUM limitation?

I'm using CUSUM to check structural breaks. The plot you see below pass the CUSUM test. How is that possible? ...
1
vote
0answers
51 views

Bank acquisition effect

Given that I have 4 banks (bank A, B, C and D) and the data (stock value) I have is from 1998 to present year. At the year 2002, Bank A acquired Bank C. At 2005, Bank A acquired Bank D. Until there ...
3
votes
0answers
1k views

How can this series pass the structural change test?

I have this series: ...
3
votes
1answer
3k views

Identifying structural breaks in regression with Chow test

I have some problems in using (and finding) the Chow test for structural breaks in a regression analysis using R. I want to find out if there are some structural changes including another variable ...