This article examines the relationship between inflation and inflation uncertainty in the Turkish economy in this period 2004:01-2014:12. This relationship is explored in two ways: a) with the effect of structural breaks; b) without the effect of structural breaks. In fact, with regard to the main structural break have occurred over this period, we examine whether structural break has affected ...

This paper deals with a statistical model fitting procedure for non-stationary time series. This procedure selects the parameters of a piecewise autoregressive model using the Minimum Description Length principle. The existing chromosome representation of the piecewise autoregressive model and its corresponding optimisation algorithm are improved. First, we show that our proposed chromosome rep...

Abstract This paper attempts to re-investigate the catching-up (stochastic convergence) hypothesis among the selected 16 OECD countries applying the time series approach of convergence hypothesis with annual data over one century. To reach this aim, we propose a model which specifies a trend function, incorporating both types of structural breaks – that is, sharp breaks and smooth shifts usin...

This paper proposes two new weighting schemes that average forecasts using different estimation windows to account for structural change. We let the weights reflect the probability of each time point being the most-recent break point, and we use the reversed ordered Cusum test statistics to capture this intuition. The second weighting method simply imposes heavier weights on those forecasts tha...

in a structural time series regression model, binary variables have been used to quantify qualitative or categorical quantitative events such as politic and economic structural breaks, regions, age groups and etc. the use of the binary dummy variables is not reasonable because the effect of an event decreases (increases) gradually over time not at once. the simple and basic idea in this paper i...

Abstract. Structural break is one of the important concerns in non-stationary time series prediction. The cumulative sum of square (CUSUMS) statistic proposed by Brown et al (1975) has been developed as a general method for detecting a structural break. To better understand CUSUMS, this paper analyses the relationship among the bias of the break location estimation, pre-break data size and the ...