In this talk the authors present an extension of the procedure proposed by Cappelli and Reale (2005) thatemploys regression trees to detect multiple mean breaks; this extension is meant to dealwith regime changes due to instability in model parameters. In order to evaluate the performance of the proposed approach a simulation study is carried on. An application to the US labor productivity is also presented and discussed.
Regression trees for regime changes analysis / Cappelli, Carmela; DI IORIO, Francesca. - (2008). (Intervento presentato al convegno CFE'08 Computational and Financial econometrics tenutosi a Université de Neuchâtel nel 19-21 giugno).
Regression trees for regime changes analysis
CAPPELLI, CARMELA;DI IORIO, FRANCESCA
2008
Abstract
In this talk the authors present an extension of the procedure proposed by Cappelli and Reale (2005) thatemploys regression trees to detect multiple mean breaks; this extension is meant to dealwith regime changes due to instability in model parameters. In order to evaluate the performance of the proposed approach a simulation study is carried on. An application to the US labor productivity is also presented and discussed.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
