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21 views

which statistical significance to rely on?

Hello, I'm trying to estimate the relationship between oil price and gdp. My question is should I test for statistical significance for each estimator or should I test the statistical significance ...
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0answers
4 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 ...
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1answer
116 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 ...
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0answers
94 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 ...
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0answers
109 views

Using filtered time series (with moving average) results in bad results from change point detection

I have a question about an observed behavior of doing change point detection with the R package cpm on filtered time series (using an moving average): Currently I’m exploring different methods about ...
2
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1answer
130 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
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2answers
64 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. ...
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1answer
45 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 ...
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1answer
124 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 ...
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0answers
108 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 ...
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0answers
316 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
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1answer
148 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
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1answer
77 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 ...
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2answers
220 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 ...
2
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1answer
188 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. ...
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1answer
277 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 ...
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0answers
71 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 ...
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0answers
135 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 ...
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2answers
231 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 ...
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0answers
287 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 ...
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1answer
313 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: ...
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1answer
1k 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 ...
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5answers
3k 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
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1answer
167 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? ...
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0answers
50 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 ...
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0answers
748 views

How can this series pass the structural change test?

I have this series: ...
3
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1answer
2k 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 ...