Search Results - subject:"Multiple Structural breaks"

Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets

Liow, Kim; Chen, Zhiwei; Liu, Jingran - In: The Journal of Real Estate Finance and Economics 42 (2011) 3, pp. 295-328

Persistent link: https://www.econbiz.de/10008926159

Postwar slowdowns and long-run growth: a Bayesian analysis of structural break models

Chen, Yi-Chi; Zivot, Eric - In: Empirical Economics 39 (2010) 3, pp. 897-921

Persistent link: https://www.econbiz.de/10008775756

A new unit root test with two structural breaks in level and slope at unknown time

Narayan, Paresh Kumar; Popp, Stephan - In: Journal of Applied Statistics 37 (2010) 9, pp. 1425-1438

In this paper, we propose a new augmented Dickey-Fuller-type test for unit roots which accounts for two structural breaks. We consider two different specifications: (a) two breaks in the level of a trending data series and (b) two breaks in the level and slope of a trending data series. The...

Persistent link: https://www.econbiz.de/10008674973

Identification of Changes in Mean with Regression Trees: An Application to Market Research

Rea, William; Reale, Marco; Cappelli, Carmela; Brown, … - In: Econometric Reviews 29 (2010) 5-6, pp. 754-777

In this article we present a computationally efficient method for finding multiple structural breaks at unknown dates …

Persistent link: https://www.econbiz.de/10008691637

Does long-run purchasing power parity hold in Eastern and Southern African countries? : evidence from panel data stationary tests with multiple structural breaks

Hoarau, Jean-François - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 307-315

Persistent link: https://www.econbiz.de/10015180110

Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities

Basher, Syed A.; Carrion-i-Silvestre, Josep Lluís - In: Journal of Time Series Econometrics 1 (2009) 1

panel data procedure that can handle a wide range of PPP concepts in the presence of multiple structural breaks using all …

Persistent link: https://www.econbiz.de/10014615128

Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks in Panel Data Analysis: An Application to U.S. Cities

Basher, Syed; Carrion-i-Silvestre, Josep Lluís - In: Journal of Time Series Econometrics 1 (2009) 1, pp. 3-3

panel data procedure that can handle a wide range of PPP concepts in the presence of multiple structural breaks using all …

Persistent link: https://www.econbiz.de/10004988903

Panel data stochastic convergence analysis of the Mexican regions

Carrion-i-Silvestre, Josep; German-Soto, Vicente - In: Empirical Economics 37 (2009) 2, pp. 303-327

Persistent link: https://www.econbiz.de/10008566207

International nonlinear causality between stock markets

Beine, Michel; Capelle-Blancard, Gunther; Raymond, Helene - In: The European Journal of Finance 14 (2008) 8, pp. 663-686

In this paper, we test for linear and nonlinear Granger causality between the French, German, Japanese, UK and US daily stock index returns from 1973 to 2003. We find a strong contemporaneous linear dependence between European countries and a directional linear dependence from the US towards the...

Persistent link: https://www.econbiz.de/10005471850

International nonlinear causality between stock markets

Beine, Michel; Capelle-Blancard, Gunther G.; Raymond, … - Solvay Brussels School of Economics and Management, … - 2008

Persistent link: https://www.econbiz.de/10011011734