In this talk an extension of the method called ART that identifies multiple breaks in mean occurring at unknown dates employing regression trees is presented. In particular, the method addresses the problem of estimating the break dates and their number in the general framework of the linear model with multiple structural changes. Simulation results pertaining to the behavior are presented and discussed of the proposed approach.
Multiple structural change model analysis via theoretical regression trees / Cappelli, Carmela; DI IORIO, Francesca; P. P., D'Urso. - (2011). (Intervento presentato al convegno 8-th Meeting of the CLAssification and Data Analysis Group (CLADAG) tenutosi a Università di Pavia nel 7-9 settembre).
Multiple structural change model analysis via theoretical regression trees
CAPPELLI, CARMELA;DI IORIO, FRANCESCA;
2011
Abstract
In this talk an extension of the method called ART that identifies multiple breaks in mean occurring at unknown dates employing regression trees is presented. In particular, the method addresses the problem of estimating the break dates and their number in the general framework of the linear model with multiple structural changes. Simulation results pertaining to the behavior are presented and discussed of the proposed approach.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
