Stack Exchange Network

Stack Exchange network consists of 174 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

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

0
votes
3answers
285 views

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

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?
0
votes
1answer
321 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, ...
4
votes
4answers
103 views
1
vote
1answer
583 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 ...
1
vote
0answers
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 ...
5
votes
7answers
12k 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
0
votes
1answer
3k 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, ...
7
votes
4answers
209 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 ...
0
votes
0answers
37 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/...
1
vote
1answer
668 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 ...
1
vote
1answer
33 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{(....
3
votes
1answer
76 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 ...
0
votes
1answer
135 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() ...
0
votes
1answer
43 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 ...
3
votes
2answers
86 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 ...
0
votes
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 ...
0
votes
0answers
53 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 ...
1
vote
1answer
87 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 ...
0
votes
0answers
74 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 ...
0
votes
1answer
53 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...
2
votes
1answer
73 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 ...
0
votes
1answer
76 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 ...
1
vote
1answer
54 views

Structural change or GARCH model

I have GDP Time series, that has a positive stochastic trend trend: ...
0
votes
1answer
84 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 ...
1
vote
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 ...
0
votes
0answers
29 views

Why does a mean shift cause autocorrelation?

In whatever statistical program you're using, generate 100 observations $\sim N(0,1)$. An autocorrelogram of this Gaussian white noise should not show any statistically significant autocorrelations or ...
0
votes
1answer
85 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. ...
0
votes
0answers
48 views

how to detect structural change in timeseries?

I have a timeseries and I want to detect if there is a structural break in it. how to test it? how is the procedure to test it? should I model it first into an arima model? thank you
1
vote
1answer
118 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 ...
2
votes
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 ...
1
vote
0answers
89 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 ...
0
votes
0answers
380 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 ...
1
vote
0answers
38 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 ...
1
vote
2answers
75 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 ...
1
vote
1answer
474 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 ...
1
vote
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 ...
0
votes
1answer
63 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: ...
1
vote
1answer
162 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 ...
3
votes
0answers
95 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 ...
-1
votes
1answer
43 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 ...
4
votes
1answer
298 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 ...
0
votes
1answer
59 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 ...
0
votes
0answers
76 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?
1
vote
0answers
180 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
votes
1answer
429 views

Johansen cointegration test with structural change in the intercept

I built a VAR in which I discovered that structural change in the intercept so I added a dummy variable as differential intercept. I want to test cointegration by Johansen method and have read that ...
1
vote
0answers
521 views

Cointegration with Multiple Structural Breaks

I am currently studying whether stock markets in the GCC region are cointegrated. All series are I(1); however, the Johansen test provides no robust evidence of cointegration. I then used the Bai ...
2
votes
1answer
652 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. ...
3
votes
2answers
67 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 ...
3
votes
1answer
77 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 ...
2
votes
0answers
87 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 ...