Questions tagged [structural-change]

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

Filter by
Sorted by
Tagged with
0
votes
0answers
10 views

How can a stochastic filter be forecasted?

After the covid-19 lockdown, employment (and other economic indicators) were shocked. I want to model a recovery in employment levels. I used an AR(2) model of quarter-on-quarter (q/q) employment ...
0
votes
0answers
23 views

Can I use breaking series as a regressor in a VAR model?

Context: I have two series, price and sales. Sales is mean-reverting stationary but price is stationary only after controlling for an intercept break. I want to set up a 2-equation VAR model and the ...
0
votes
1answer
23 views

Including knowledge about structural breaks in forecast

I have a timeseries, where I know the volume will be about 20% lower in the future (because of a sudden policy change). I want my time series model (ETS) to pick up this change reliably, but I'm not ...
0
votes
0answers
39 views

statistical process control for non normal time series

Let us say I have several KPI measurements per month. There may be different numbers of measurements per month but there are more than 30. The monthly distributions do not look normally as shown in ...
0
votes
1answer
17 views

XmR charts for several measures at the same day/month

Xmr charts are often used in statistical process control (see for example). They make sense, but I wonder what one does, if one has several measure per day/month etc. Should one just use the average (...
1
vote
1answer
21 views

What is the interplay between treatments for multiple testing and autocorrelation in hypothesis tests?

I would like to apply a null hypothesis significance test that requires iid data (specifically the Pettitt test for change-point detection) to multiple time series in different locations. These time ...
1
vote
0answers
63 views

Interest rate volatility, structural breaks, and GARCH

I'm trying to estimate the volatility of an interest rate over time using GARCH. A problem that I'm currently facing is that the interest rate shows strong signs of structural breaks, which leads to ...
3
votes
0answers
24 views

How to handle level shift with ARIMA model?

I have some data that fits an ARIMA(1,1,4) model pretty well and prior to COVID it was a reasonably stable time series. Since COVID, there has been a level shift downward where it continues to be ...
2
votes
1answer
43 views

Least squares estimation of a shift in linear processes by Bai(1994). Does it have to be stationary?

So in his paper Least squares estimation of a shift in linear processes.(Link) Bai shows a method to find a structural break point in time series data. He states that to obtain the LS estimator for ...
0
votes
1answer
86 views

Time series Multiple breakpoints test in R

I'm using package strucchange in R to deal with time series data, but I have a question about breakpoints() function, how to set the optimal period 'h' to the regression sample? if the period h too ...
0
votes
0answers
18 views

Structural Break Test for Multinomial or Conditional Logistic Regression - what are the readily avaliable options?

I've been reading alternatives such as this paper for identifying structural breaks, but I was looking for something more readily available for testing and practice -- such as an R package. If someone ...
0
votes
0answers
16 views

Time Fixed Effects vs Structural Break

I currently have a panel data set that contains the quarterly increment of loans initiated from more than 300 cities in China over the period from 2011Q1 to 2020Q2. I want to examine the impact of ...
1
vote
1answer
30 views

Markov Switching Model with Markov trend

I have a time series with nonstationary data. Looking at the plot of the data it is clear that there are structural breaks. As data follow the stochastic process, I want to build Markov Switching ...
0
votes
0answers
9 views

Unit Root test with Multiple Structural Breaks

I have got a problem in unit-root testing. my time series is suggesting at least 5 to 6 structural breaks. i was thinking of splitting my series into same number of sub-series; for example sub series ...
0
votes
1answer
78 views

Nonparametric changepoint detection for series with variable number of measurements across time

I have been looking at a lot of recent changepoint detection algorithms ( *-PELT, NEWMA, ...) but it seems they all work on a single (or multiple) variable(s) that are composed of each a single value ...
0
votes
1answer
38 views

Identifying order of integration

In Eviews ADF unit root test shows that variable is I(2), but unit root with structural breaks shows that variable is I(1). Can I conclude that variable is I(1)?
2
votes
0answers
33 views

Structural break test for non-stationary time series

I recently found out that Bai and Perron test for identifying structural breaks using the package strucchange can't be used in case time series is non stationary. ...
0
votes
0answers
19 views

How to estimate the right derivative of a function that is smooth except for a finite number of kinks?

Suppose $Y_i=g(X_i)+e_i$, where $g(\cdot)$ is a function unknown to the researcher, and $E(e_i|X_i)=0$. Suppose $X_i$ is a random variable in $[-1,2]$ with a density that is everywhere positive, and ...
1
vote
1answer
31 views

What happens to kernel regression (Nadaraya–Watson estimator) at a kink point?

Suppose $Y_i=g(X_i)+e_i$, where $g(\cdot)$ is a function unknown to the researcher, and $E(e_i|X_i)=0$. Suppose $X_i$ is a random variable in $[-1,1]$ with a density that is everywhere positive, and ...
1
vote
0answers
26 views

Time series dynamic model: can we also learn time varying models?

I would like to train multivariate time series models with time varying weight information (time-varying relationship between data and labels). My understanding is that for example, autoregressive ...
1
vote
1answer
30 views

How to compare GARCH model outcomes from two equal time series

I'm writing my thesis and will sketch the scenario I try to research: I have data for my GARCH model from two periods. The input is the same, as is the length (1y). I want to compare both the outcome ...
3
votes
1answer
120 views

Are there ML algorithms for data whose probability distribution changes over time?

It seems ML algorithms are specialized for cases in which the population distribution is fixed. Cross-validation also wouldn't work well if the distribution would change over time. However, it is not ...
0
votes
0answers
21 views

How to deal with pulse effect in time series when making future forecast

I am only interested in forecasting correct numbers here. I predict spending among other things. Historically combining exponential smoothing models have worked well for us (errors under 5 percent ...
1
vote
0answers
15 views

Transfer Function in Dynamic Linear Model to Quantify Intervention Effect?

I have a time series consisting of 48 quarterly observations, relating to the area of land that was subject to development. I am trying to investigate whether a change in policy after 2011 caused an ...
2
votes
2answers
70 views

How to statistically test relationship between two variables?

I am trying to investigate the stability of spread between two short-term interest rates by the example of 1M and 12M Euribor. I don't think only looking at correlations over time is statisically ...
5
votes
0answers
336 views

Chow Test: Do you need stationarity to model a time-series for identifying structural breaks?

What am I trying to achieve? I am trying to test whether there is a structural break in a time-series of proportions at a known break date (21 Dec 2019) . Below is a plot of the original time-series (...
1
vote
2answers
130 views

Is there a module in R to find structural breaks in time series data?

I have time series data that I need to transform into a stationary series. It is a monthly series so according to this graph, I think the break point is in September, 2007. However, I am not sure if I ...
2
votes
2answers
83 views

strucchange for time seires intervention detection/analysis - ARIMA structure and covariates

For my problem, I am dealing with 4 rather short time series (between 21 and 31 points). I know that an intervention was applied to each of the time series for which I know the exact date. However, ...
1
vote
1answer
46 views

Structural change test for data which is not time series

I am preoccupied with an issue that can we use Chow, CUSUM or any other structural change test for a variable which does not depend on time? For example, one wants to determine specific point for ...
3
votes
1answer
86 views

Detecting for structural changes in a time series near the end

My interest is to check for structural changes in a time series. I know the time point which I wish to check for structural break. This point happens to be near the end of the series. Also I am doing ...
0
votes
1answer
167 views

Should I check structural breaks when forecasting, given limited time window

I attached the graph of a time series below, which is a series of the probability of defaults. This is a quarterly time series. When I am using a regression model to forecast this time series, should ...
0
votes
2answers
245 views

strucchange::breakpoints giving implausible results

I'm trying to detect the breakpoints in Facebook's stock price with strucchange::breakpoints. ...
0
votes
0answers
21 views

weighing percentage changes by number of samples

Applying one simple formula for percentage change. This: 100 * (8 - 2) / 2 = 300% gives the same results as this: ...
0
votes
0answers
21 views

How to improve on the preferred regression model?

After running the chow test, the F stat shows structural change is present in the model, so the unrestricted models are preferred. I am not sure how I can choose from the two regression models in the ...
1
vote
1answer
91 views

Resources for Non-Bayesian Online Change-point Detection

I am interested in learning about the fundamentals of on-line change point detection. I am specifically not interested in the Bayesian methods. The only solid resource / review / survey I could find ...
0
votes
0answers
137 views

Analysis of time series data where its structure changes

I'm relatively new to time series analysis and am working on characterization of time series data of a VM’s resource utilization (is its usage of CPU variable, how variable is it, magnitude and ...
0
votes
0answers
43 views

Do all parameters have to have the same nature in a structural change test?

This is a duplicate of this query (I was asked to shift the query from economics.stackexchange to Cross Validated SE.) Lets say I am building a market model to estimate the beta of a stock with ...
0
votes
2answers
99 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?
1
vote
0answers
219 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. ...
11
votes
2answers
10k 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 ...
0
votes
0answers
60 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 ...
1
vote
2answers
178 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 ...
3
votes
0answers
73 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 $...
1
vote
1answer
2k 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 ...
1
vote
1answer
107 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, ...
0
votes
1answer
39 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 ...
1
vote
2answers
143 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 $...
2
votes
0answers
80 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 ...
7
votes
4answers
465 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 ...
1
vote
1answer
69 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{(....