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Questions tagged [structural-change]

Change in the structure of a data-generating process, e.g., level shifts in a time series.

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22 views

Can a dummy variable be used to correct ARCH?

Is it possible to use a dummy variable to allow for a structural break, in order to correct Autoregressive Conditional Heteroscedasticity?
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0answers
33 views

How to add the effect of structual change points (level shift, local time trends, changes in seasonal pulses ) in ARIMA IN PYTHON?

I am working on a time series forecasting problem.As I came to know that I was not considering structural changes and seasonal dummies and was building a simple ARIMA that was causing a very poor fit. ...
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16 views

Test for structural break with panel data

I want to study a variable $Y_{it}$ that represents the profit of several firms over time. In particular I want to evaluate whether there is a structural break after a specific year. the idea is to ...
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2answers
276 views

How to detect and quantify a structural break in time-series (R)

Background So first some background to gauge the level of understanding I might have. Currently completing MSc thesis, statistics has been a negligible part of this although I do have a basic ...
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33 views

Hypotheses Testing and Calculating Statistical Significance on Time Series Data

I'm trying to compare the growth (annual change) in average house price in the UK before and after the EU referendum. I want to test whether the decline in growth (since the referendum) is ...
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2answers
133 views

Quandt (1958) Endogenous vs Exogenous Breakpoint

I would like to explain why an endogenous breakpoint is a problem when testing for a difference in the mean between two subperiods in a time-series. Here are my questions. The breakpoint cannot ever ...
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0answers
17 views

structural break vs regime shift in simple language

I went through the wiki pages for Structural Break and Regime Shift. It seems to me that they are synonyms. Is there a difference ?
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0answers
55 views

Time series model for demand forecasting?

I have a time series $Y_t$ (example:university applications received in a certain month) which I want to forecast. I have another time series $X_t$ and I know that $Y_t$ is related to past lags of $...
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22 views

Check structural break on transformation of variables

I want to build a VAR model with three parameters: inflation, unemployment and GDP. I have found these three variables to be non-stationary, hence I took the difference in logs. The difference in logs ...
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1answer
261 views

How to handle a structural break in VAR model?

I want to construct a VAR model of three time series: Inflation, GDP growth and Unemployment from 1963 to 2018. I have found a structural break around the year 2007 (2007-2008 financial crisis). I do ...
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1answer
60 views

Is it possible to predict the pre-intervention period rather than the post-period using Google's CausalImpact function?

I want to use to Google's causal impact function to impute the effect of an intervetion. However, my data is structured as: pre-period=1991-1995, intervetion occurs, post-period=1996-2017. To clarify, ...
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1answer
37 views

Modelling Idea for Big Jumps in Revenue

I'm trying to model some year-on-year data, as seen in the picture, each line represents a different year. From 52 to 0 (x-axis) are the weeks leading up to the last point on the left. I have been ...
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2answers
75 views

Detecting change in p of a Bernoulli process

A machine outputs either a 0 or a 1 each second. We denote this output at time $t$ as $b_t$. The probability that it outputs 1 is $p_t$ at time $t$. How do we go about studying the change in $p_t$ in $...
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0answers
38 views

How to find the timepoint when on average each timeseries reaches a given threshold with hypothesis testing?

I have N individual timeseries and would like test statistically - after the fact - when they cross a given threshold - specifically when they are reliably above 0. I am new to timeseries analysis and ...
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4answers
261 views

How to test if the process that generated a time-series has changed over time

Problem I have time-series data generated by a machine over two disjoint periods of time - roughly one month in 2016 and another month in 2018. It is hypothesized by domain experts that at each time ...
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1answer
43 views

Testing for structural breaks by adding time dummies

I'm preparing for exams and one sample question asks about an analysis of the following reported linear regression model: $$ Y_t = \underset{(3.21)}{105.68} + \underset{(.121)}{.074}X_t - \underset{(....
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1answer
150 views

Is modelling a structural change in a time series useful for statistical forecasting?

A colleague of mine is arguing that we should look into using some structural time series tools for improving our demand forecasting (I work in retail). I am a little bit skeptical. I don't see any ...
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1answer
297 views

Time series structural analysis with R's strucchange package: Interpreting breakpoint dating with respect to breakpoint testing

I am working with a short time series consisting of 21 annual observations, and I want to detect structural breaks using the strucchange package (Zeileis et al. 2002). When I run the breakpoints() ...
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1answer
74 views

Structural change analysis: serial F-statistics test on raw or differenced data?

I am working with a short time series consisting of 21 annual data points. I wish to analyze the time series for structural changes, and I have been exploring the strucchange package in R (Zeileis et ...
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2answers
99 views

Could adding more history (expanding the training sample) reduce forecast accuracy?

Following up on a discussion in a previous thread: Are there any situations where adding too much data to a forecasting model is counterproductive, in the sense that it reduces the forecasting ...
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0answers
9 views

Is there a systematic behaviour/change?

don't know how to call the title so please excuse the rather general naming. I've a lot devices and each has it's own specific voltage which I've histogrammed. After the same treatment (meaning, each ...
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1answer
256 views

Forecasting technique for an increasing upward trend

I have a time series data which increases by a certain value and then remains constant for certain period of time. The increase may be very high or a normal increase. I have to forecast the values for ...
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0answers
150 views

Structural breaks and residuals analysis for ARIMA models

I have two question regarding ARIMA modeling. 1) When I work with ARIMA models should I test for the absence of structural breaks? If the answer is yes, what function of R could I use to detect a ...
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1answer
91 views

Structural change analysis validity in case of auto-correlated data?

I attempted to assess the "significance" of some environmental alteration through the identification of break points in a diagnostic time series (using R strucchange...
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1answer
95 views

time series mainly characterized by structural breaks - how to model?

I am given a financial time series that is characterized by a bunch of structural breaks, i.e. the series isn't moving (literally at all), but at some points in time the series jumps up or down. Then ...
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1answer
145 views

Different BIC value from strucchange plot and reconstructed model

I'm analysing a time series with the aim of assessing the presence of significant break points, using R package strucchange (v. 1.5-1). The number of break points ...
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3answers
531 views

How to test if these two samples are from the same distribution? [closed]

How to test if these two samples are from the same distribution? (These are tweets located near some tourist attractions. If yes, is there a simple implementation in Python?
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1answer
73 views

Structural change or GARCH model

I have GDP Time series, that has a positive stochastic trend trend: ...
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1answer
200 views

Structural change

I´m writing my master thesis about exchange rate forecasting and developed a model which I want to test on several countrys. Looking for structural breaks is highly recommended in the literature. ...
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1answer
165 views

Structural Breaks

Take $y=\alpha + \beta_1 x_1 + \beta_2 x_2 + ... + \beta_3 x_5 + \epsilon$ The Bai-Perron sequential approach allows to identify multiple structural break dates for the regression coefficients in the ...
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0answers
113 views

R: Constrained coefficients for fitting a linear model to a subset of the data

I fit a regression with 37 variables to my entire dataset and got regression results. One of the variable is the distance in miles (dist). I believe that my data follows two distinct regimes with ...
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1answer
157 views

how many iterations in breakpoint analysis (bfast)?

I am doing a breakpoint (using bfast) analysis of several Vegetation Index time series (15 years time series; 340 images; MODIS). I have around 20.000 time series ...
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0answers
796 views

Setting up auxiliary regression for white test on regression with breakpoint dummies

I am trying to test for heteroskedasticity in a model which incorporates breakpoint trend and intercept dummies (the model is basically the Zivot and Andrews ADF breakpoint unit root test). I am ...
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0answers
40 views

Structural Changes in Short-Term Time-Series

I am dealing with a time-series consisting of 20-second observations over a 24-hour period (4320 observations). I'm wondering if it is sensible to characterize significant shocks (such as an important ...
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1answer
845 views

perform chow test on time series

I am currently writing on my master thesis, therefore i have to find out if a specific moment had an impact on a time series. By just looking at the plot I would say that after the prize reached his ...
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2answers
112 views

How to find and correct y-axis offset in time series?

I have usage data of many machines like this: In this machine, the usage grows linear with the time. However, in early 2016, someone or something messed with the total usage in hours and the next ...
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1answer
76 views

How can I identify a step in an increasing time series?

The time series data, as shown in image 1, has 3 separate steps connected by increasing data. How do I detect these steps? An easier set of data with one step could be created in R as follows: ...
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1answer
225 views

When testing for structural changes, should a linear trend be identified from the data or the derivative of data?

There exists a linear trend in an otherwise non-linear set of time-series data. The linear trend can be identified using a change-point (or breakpoint for structural changes) analysis method. This ...
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1answer
59 views

Model-independent way to test for structural breaks in (non-linear non-Gaussian) time series

I am examining a time series which clearly has two "regimes" (by visual inspection), separated by what appears to be a structural break. I'm trying to get as much information as possible out of the ...
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1answer
91 views

Weird result from R regarding structural break test

I'm trying to detect structural breaks in time series of NAV using 'strucchange' in R. I have created the NAV by using a simple annualized return of 5% and 10% (no random term). However, after using ...
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1answer
899 views

Estimating effects of a structural break on multiple/panel regressions coefficients and R implementation

I would appreciate some methodology and R implementation help for a thing I'm working on. I have daily observations of $Y$ for several countries over several years, I will use quite a few independent ...
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0answers
116 views

Bai-Perron method to detect break in constant and trend in regression?

Is it valid to use the Bai-Perron method to detect breaks in the constant and and the trend in a regression, and to use the break dates for cointegration with structural break?
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0answers
219 views

Structural break detection in time series

I have the following timeseries of the electrical current consumption of a CNC milling machine. My goal is to determine any breakpoints within the signal automatically, since I want to predict ...
3
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1answer
124 views

Can I modify the Chow Statistic for use with ARIMAx models?

I'm trying to come up with a test for parameter constancy that's general enough to use for both OLS models and ARIMAx models. In all cases, we have non-stochastic exogenous variables. Here's the chow ...
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1answer
2k views

Detecting structural breaks in a dataset.

I have some trouble detecting structural breaks in a dataset. The dataset has multiplied time-series, and it follows a trend. I want to find a structural break when the time-series breaks the trend. ...
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2answers
70 views

How to test if the influence (coefficient) of a explanatory variable have changed over time?

I have data for five different elections and want to test if the influence of campaign spending on the electoral result has increased or decreased from one election to another. I am running a linear ...
2
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1answer
90 views

Detecting a break _region_ in regression relationships (using R)

We're given a seasonal time series $y_t$, representing a certain metric used to measure a system's performance. The measure has a positive trend, and a considerable seasonal influence. We also know ...
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0answers
108 views

Relationship between I(0) variables in the presence of structural breaks

Consider the following hipothetical data. $A_t$ is a time-series tested to be I(0) with one known structural break and $B_t$ is another time-series on the same data set also tested to be I(0) with a ...
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0answers
145 views

Chow Test and Structural Breaks

I am an economics student and we are tasked to make a mini thesis. I was thinking in getting smoking demand determinants and the effect of sin tax (excise tax on tobacco here in the Philippines and ...
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0answers
579 views

Detect significant change in trend

I am trying to find a good fit for my data, taking a multivariate analysis approach. That is I transform my data and do linear regression and pick the best one based on r squared. The problem is ...