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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41 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 ...
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1answer
32 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 ...
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12 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 ...
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12 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 ...
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1answer
26 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 ...
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6 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 ...
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1answer
70 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 ...
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1answer
36 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)?
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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. ...
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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 ...
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1answer
23 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 ...
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24 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 ...
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1answer
26 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 ...
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1answer
115 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 ...
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20 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 ...
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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 ...
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2answers
62 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 ...
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9 views

Structural breaks in panel data

Traditionally among practitioners in my field (economics) structural breaks are usually considered problematic in time series analysis and forecasting but not as much in panel data analysis and non-...
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176 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 (...
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2answers
91 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 ...
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2answers
67 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, ...
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1answer
44 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 ...
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1answer
77 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 ...
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1answer
138 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 ...
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2answers
196 views

strucchange::breakpoints giving implausible results

I'm trying to detect the breakpoints in Facebook's stock price with strucchange::breakpoints. ...
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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: ...
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19 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 ...
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1answer
84 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 ...
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135 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 ...
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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 ...
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2answers
88 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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196 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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2answers
8k 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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59 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
168 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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72 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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1answer
1k 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
104 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
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 ...
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2answers
124 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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68 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
405 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
66 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
291 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
749 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
121 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
121 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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1answer
652 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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344 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
202 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...