In this talk we focus on regime changes due to breaks in the coefficients of a parametric model and we propose an extension of the method ART called that addresses this topic in the general framework of the linear model with multiple structural changes. The proposed approach considers in the tree growing phase the residuals of parametric models fitted to contiguous subseries obtained by splitting the original series whereas tree pruning together with model selection criteria provides the number of breaks. We present simulation results pertaining to the behavior of the proposed approach as well as an empirical application
Theoretical regression trees for multiple structural changes analysis / Cappelli, Carmela; DI IORIO, Francesca. - (2011). (Intervento presentato al convegno 7-th conference on statistical computation and complex systems SCo 2011 tenutosi a Università di Padova nel 19-20 settembre).
Theoretical regression trees for multiple structural changes analysis
CAPPELLI, CARMELA;DI IORIO, FRANCESCA
2011
Abstract
In this talk we focus on regime changes due to breaks in the coefficients of a parametric model and we propose an extension of the method ART called that addresses this topic in the general framework of the linear model with multiple structural changes. The proposed approach considers in the tree growing phase the residuals of parametric models fitted to contiguous subseries obtained by splitting the original series whereas tree pruning together with model selection criteria provides the number of breaks. We present simulation results pertaining to the behavior of the proposed approach as well as an empirical applicationI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
