Tagged Questions

0
votes
1answer
52 views

Finding Structural breaks in Heteroskedastic time series

I'm currently writing my thesis and I'm a little stumped. 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 ...
3
votes
0answers
77 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 ...
1
vote
2answers
168 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 ...
1
vote
1answer
212 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: ...
1
vote
4answers
743 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
1
vote
0answers
41 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 ...