The analysis of structural-change models is nowadays a popular subject of research both in econometric and statistical literature. The most challenging task is to identify multiple breaks occurring at unknown dates. In case of multiple shifts in mean Cappelli et al (2008) have proposed a method based on regression trees. In this paper we propose an extension of this method to address the problem of estimating the break dates and their number in the general framework of the linear model with multiple structural changes. We present simulation results pertaining to the behavior of the proposed approach.
Multiple Structural-Change Model Analysis via Theoretical Regression Trees / Cappelli, Carmela; D'Urso, P; DI IORIO, Francesca. - ELETTRONICO. - (2011), p. 13. (Intervento presentato al convegno 8Th international meeting of the Classification and Data Analysisi group of SIS tenutosi a Università di Pavia nel 7-9 settembre 2011).
Multiple Structural-Change Model Analysis via Theoretical Regression Trees
CAPPELLI, CARMELA;DI IORIO, FRANCESCA
2011
Abstract
The analysis of structural-change models is nowadays a popular subject of research both in econometric and statistical literature. The most challenging task is to identify multiple breaks occurring at unknown dates. In case of multiple shifts in mean Cappelli et al (2008) have proposed a method based on regression trees. In this paper we propose an extension of this method to address the problem of estimating the break dates and their number in the general framework of the linear model with multiple structural changes. We present simulation results pertaining to the behavior of the proposed approach.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
