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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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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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2answers
124 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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1answer
185 views

Can time series be used to predict series which has a changing trend?

Supposing I have a stock return series from 2000-2013. Looking at the data, it has pattern of long trending bull market: 2001-2008, and 2010-2013, while it also has great reversal in 2008 financial ...
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1answer
361 views

Must data be time-series to contain structural breaks?

I have a simple linear regression model and am trying to locate structural breaks in the relationship between the two variables. The data are cross-sectional, not time-series. I've been using Wald ...
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50 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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824 views

How to test stability/variability of statistic over time, using R

I have a long time series data (running several years). I have split the data into several series, each of 1 month duration. I then perform some custom calculations on each of the 'shortened' time ...
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34 views

Structural break/change with time-varying parameters

I want to evaluate the effectiveness of an intervention in a time-series. According to this answer, this is called a test for structural change/break or a change point model. While searching how to do ...
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1answer
122 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
43 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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19 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
141 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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3answers
465 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
36 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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1answer
359 views

Engle-Granger cointegration testing with a structural break

I have two series of daily close prices for UN and UL from 01/02/2002 to 12/31/2002. Both are for Unilever Co. When I conduct the Engle-Granger cointegration test, the MacKinnon $p$-value is high, ...
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0answers
318 views

Unit root testing with two structural breaks

I'm investigating two possibly cointegrating time series and need to test for stationarity. Both series have structural breaks, possibly more than one. My procedure is as follows: Clemente Montanes ...
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4answers
134 views
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60 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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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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1answer
623 views

How does one determine what ARL0 should be used on CPM package to test for Structural Change

I'm trying to find multiple break points by using processStream from CPM package on R. Can someone enlighten me on what is ...
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55 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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7answers
13k 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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1answer
4k views

Structural Break Test in Eviews [closed]

My data set contains 55 data points. I want to run a structural break tests. I am using Eviews 8 and I know that I am supposed to estimate an equation using Quick->Estimate, then once it is estimated, ...
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4answers
244 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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53 views

Are structural break tests appropriate for this situation?

Brief background: I’m examining mediation rates in China. I have a panel dataset with N=24 provinces and T=30 years (1985-2014). For each province-year, I observe mediation rates and host of economic/...
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1answer
830 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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1answer
40 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
123 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
244 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
58 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
97 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
8 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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0answers
126 views

Testing the unit root of a multiple-break series - Is this procedure correct?

The question is generally about what test equation should I use for testing the unit root of a series with two, say, intercept breaks. But I have specific questions. The whole procedure is as ...
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1answer
181 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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114 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
79 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
93 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
115 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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1answer
65 views

Structural change or GARCH model

I have GDP Time series, that has a positive stochastic trend trend: ...
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1answer
127 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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1answer
1k views

Detecting a (statistically) significant change in time series trend

Suppose I have two time series (Series1 and Series2) which are identical from timePeriod -200 to timePeriod 0. Say that in timePeriod 0 they are both equal to 100. Series1is equal to 200 at timePeriod ...
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1answer
141 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
155 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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1answer
2k views

Structural breaks, stationarity and time series modelling

This is a simplified version of my problem... Say I have two time series ($X$ and $Y$) and I know that $Y_t$ is somehow dependent on $X_t$ but not on $X_{t-k}$ for any $k > 1$. Ultimately I want ...
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0answers
107 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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0answers
701 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
39 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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2answers
95 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
735 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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3answers
1k 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 ...