Search Results - subject:"structural breaks."

Exploring the tourism and economic growth relationship in Vietnam : a cointegration analysis with model-specific structural breaks

Kumar, Ronald Ravinesh; Stauvermann, Peter; Lien Thi Mai Dau - In: Economies : open access journal 13 (2025) 2, pp. 1-47

-run effects, whilst accounting for model-specific structural breaks. To provide stronger validation and robustness of the results …

Persistent link: https://www.econbiz.de/10015210381

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...

Persistent link: https://www.econbiz.de/10015325448

Testing for Persistence in Real House Prices in 47 Countries from the OECD Database

Caporale, Guglielmo Maria; Dominguez, Alfonso; … - 2025

This paper provides a comprehensive analysis of persistence in real house prices at the quarterly frequency in 47 countries from the OECD Database using fractional integration methods. The sample period varies depending on data availability, the longest series being the Japanese one (from...

Persistent link: https://www.econbiz.de/10015339459

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

Persistent link: https://www.econbiz.de/10015200188

Do financial market openness and stock market returns drive economic growth in GCC countries? : new investigation from panel structural breaks

Saidi, Hichem; Rachdi, Houssem; Hakimi, Abdelaziz; … - 2025

accommodates the presence of multiple structural breaks and exploits the cross-section variations. Empirical results from several …

Persistent link: https://www.econbiz.de/10015338294

Testing for persistence in real house prices in 47 countries from the OECD database

Caporale, Guglielmo Maria; Dominguez, Alfonso; … - 2025

Persistent link: https://www.econbiz.de/10015197275

Multiple structural breaks in interactive effects panel data models

Ditzen, Jan; Karavias, Yiannis; Westerlund, Joakim - 2025

Persistent link: https://www.econbiz.de/10015372714

Invalid proxies and volatility changes

Angelini, Giovanni; Fanelli, Luca; Neri, Luca - 2024

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous external instruments can result in inconsistent estimates of...

Persistent link: https://www.econbiz.de/10014577214

Tracking the trend of quinoa price in Bolivia: Structural breaks and persistence of shocks

Aliaga Lordemann, Javier; Garrón Vedia, Ignacio; Lenis … - 2024

is to analyze Bolivian quinoa price dynamics, identifying both the main events and factors that caused structural breaks … the structural breaks by means of the Bai and Perron contrast, together with estimates of long memory using the 2ELW … findings show multiple structural breaks in the quinoa price series, related to certain key events. Among the latter are for …

Persistent link: https://www.econbiz.de/10015045955

Rastreando la trayectoria de los precios de la quinua en Bolivia: Quiebres estructurales y persistencia de choques

Aliaga Lordemann, Javier; Garrón Vedia, Ignacio; Lenis … - 2024

have generated structural breaks in its trend, as well as identifying the persistence of shocks over time. An approach was … used that combines, on the one hand, the analysis of structural breaks by means of the Bai and Perron contrast, and also … production were considered. The findings reveal multiple structural breaks in the quinoa price series that are related to certain …

Persistent link: https://www.econbiz.de/10015045993