This study proposes a point estimator of the break location for one-time structural in linear regression models. If magnitude is small, least-squares date has two modes at ends finite sample period, regardless true location. To solve this problem, I suggest an alternative based on modification objective function. The modified function incorporates estimation uncertainty that varies across poten...

This study tests for the stationarity of aggregate output (GDP at factor cost) and its three major components, namely GDP agriculture, GDP industry and GDP services in the presence of structural breaks during 1950-51 to 2011-12. Results indicate that (i) the GDP has three break points; (ii) GDP agriculture contains one while the GDP industry and GDP services contain four breaks each; and (iii) ...

In many credit risk and pricing applications, credit transition matrix is modeled by a constant transition probability or generator matrix for Markov processes. Based on empirical evidence, we model rating transition processes as piecewise homogeneous Markov chains with unobserved structural breaks. The proposed model provides explicit formulas for the posterior distribution of the time-varying...

In this paper we suggest a number of statistical tests based on neural network models, that are designed to be powerful against structural breaks in otherwise stationary time series processes while allowing for a variety of nonlinear specifications for the dynamic model underlying them. It is clear that in the presence of nonlinearity standard tests of structural breaks for linear models may no...