# Tagged Questions

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21 views

### How to create a data set with structural breaks?

I have a generated a trend stationary dataset by the following codes: ...
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### changepoint detection and its analysis

I applied changepoint detection provided by ecp package against a given time series. The time series plot marked with identified change points is shown as follows. ...
12 views

### Trend break in panel data

I have a panel of countries (N= 30) over four decades (T= 40). I would like to test the impact of a policy by analyzing whether it led to a change in the trend in the outcome variable. Note: The ...
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### Autoregressive model for time series with structural breaks

I'm using a structural break model (threshold model or regime switching model) to examine the dynamics of a time series. The ADF test shows that the series has a unit root. Right now I'm regressing $y$...
220 views

### Change point identification

I have a question related to change detection. Application domain is robotics/planning. Background/setting: There is a sensor detecting distance from obstacle (ultrasonic / sonar sensor) at a ...
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### Structural Change Cross Sectional Data

I am studying an introductory course of econometrics so sorry if this seems really obvious but, I am estimating a semi log wage equation of male workers where the covariates are Age, Experience and ...
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### Measure significant change in beta due to structural change

I am analyzing a company's share price return using the CAPM model. One of the areas i am looking into, is if the financial crisis made a significant change to the company's beta. I think I am ...
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### Change-point detection for events arriving according to a stochastic process

I have a sequence of events that arrive at random times, say, according to a Poisson process. Each event is annotated either 'good' or 'bad', and we can think of that annotation as coming from a ...
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### Estimate point in metric variable where probability of success of a conditionally Bernoulli distributed variable changes (independent observations)

There is a metric variable X and a conditionally Bernoully distributed variable Y, where the probability of success of Y changes at a threshold x of variable X. The obervations are independent. I want ...
163 views

### Consider structural breaks in VECM

I am implementing a VECM, which should also take two structural breaks into account. I am using the function ca.jo from the "vars" package in R and include the ...
187 views

### Structural Break - Stata

I have used Stata to run a time series multiple regression. I know that there is in fact a structural break in the data and the point at which it occurs; therefore, I have estimated the regression ...
359 views

### Estimate number of breakpoints in regression

I've been playing around with the package strucchange (and to some extent segmented) in R. I'm trying to determine whether there ...
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### Structural breaks, stationarity and time series modelling

This is a simplified version of my problem... Say I have two time series ($X$ and $Y$) and I know that $Y_t$ is somehow dependent on $X_t$ but not on $X_{t-k}$ for any $k > 1$. Ultimately I want ...
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### 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 persistence,...
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### 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 ...
282 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 ...
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### 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 ...
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### 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. ...
3k 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 ...
102 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 ...
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### 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 ...
738 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.
806 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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### 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 sub-...
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### 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 ...
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### 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. ...
271 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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### 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 ...
187 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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### 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 ...
214 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 ...
450 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, ...
135 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 ...
544 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 ...
319 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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### 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 ...
81 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 ...
283 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 ...
268 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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### 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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### 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: ...
3k 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 ...
8k 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
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### 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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### 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 ...