نتایج جستجو برای: structural break
تعداد نتایج: 434895 فیلتر نتایج به سال:
With the changes in economic structure and social development, paths of most variables show characteristics structural changes. Traditional unit root tests, such as ADF PP often lead to wrong conclusions about data stationarity when considering variation factors. This paper considers test power statistic with one break using Monte Carlo simulation generating process has double breaks both inter...
The volatility in crude oil price the global market has continuously heightened fiscal deficits Nigeria, a net exporter of oil. Consequently, successive governments have often resorted to external borrowing augment available revenue. This implications for economic growth. Therefore, this study evaluated growth effect debt and accounted structural break debt-growth nexus Nigeria. Annual data spa...
We consider the problem of modeling a long-memory time series using piecewise fractional autoregressive integrated moving average processes. The number as well as the locations of structural break points and the parameters of each regime are assumed to be unknown. A four-step procedure is proposed to find out the break points and to estimate the parameters of each regime. Its effectiveness is s...
This special issue deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proven to be of importance for devising procedures that are reliable for inference and forecasting. Several important contributions have been made. Still, there is scope for improvements and analyses of the properties of existi...
This paper contributes to the literature on the role of technology shocks as source of the business cycle in two ways. First, we document that time-series of US productivity and hours are apparently affected by a structural break in the late 60’s, which is likely due to a major change in the monetary policy. Second, we show that the importance of demand shocks over the business cycle has sharpl...
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