The structural-change tag has no wiki summary.
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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 ...
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59 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 ...
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31 views
Structural-break unit root model (Perron, 1989)
I'm writing my dissertation at this moment and I'm doing reseach into the effect of introducing a premium private label and the effect of changing the packaging of the standard private label for the ...
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1answer
69 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 ...
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1answer
61 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 ...
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4answers
806 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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33 views
Testing for structural break on included variables under heteroscedasticity
I am doing an analysis on how energy ratings affects the prices in the housing market.
My data series ranges from 2003 to 2013, and to account for fluctuations in the sales price over time, I use ...
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1answer
35 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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24 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 there might be some structural break ...
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60 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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81 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
176 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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156 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
224 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
498 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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1answer
123 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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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 ...
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407 views
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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 ...
