scholarly journals ROBUST ESTIMATION OF STRUCTURAL BREAK POINTS

2002 ◽  
Vol 18 (2) ◽  
pp. 349-386 ◽  
Author(s):  
Inmaculada Fiteni
Keyword(s):  
Monte Carlo ◽  
Linear Models ◽  
Structural Break ◽  
Rates Of Convergence ◽  
Dynamic Linear Models ◽  
Dependent Observations ◽  
Regression Parameters ◽  
Break Points ◽  
Shift Point ◽  
Location Estimator

This paper proposes robust M-estimators of dynamic linear models with a structural break of unknown location. Rates of convergence and limiting distributions for the estimated shift point and the estimated regression parameters are derived. The analysis is carried out in the framework of possibly dependent observations and also with trending regressors. The asymptotic distribution of the break location estimator is obtained both for fixed magnitude of shift and for shift with magnitude converging to zero as the sample size increases. The latter is essential for the derivation of feasible confidence intervals for the break location. Monte Carlo simulations illustrate the performance of asymptotic inferences in practice.

SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET

2021 ◽  
pp. 1-64
Author(s):  
Lajos Horváth ◽  
Zhenya Liu ◽  
Shanglin Lu
Keyword(s):  
Los Angeles ◽  
Structural Breaks ◽  
Linear Models ◽  
Structural Break ◽  
Stopping Time ◽  
Boundary Function ◽  
Real Estate Markets ◽  
Monitoring Scheme ◽  
The Real Estate ◽  
Dynamic Linear Models

We propose a sequential monitoring scheme to find structural breaks in dynamic linear models. The monitoring scheme is based on a detector and a suitably chosen boundary function. If the detector crosses the boundary function, a structural break is detected. We provide the asymptotics for the procedure under the null hypothesis of stability. The consistency of the procedure is also proved. We derive the asymptotic distribution of the stopping time under the change point alternative. Monte Carlo simulation is used to show the size and the power of our method under several conditions. As an example, we study the real estate markets in Boston and Los Angeles, and at the national U.S. level. We find structural breaks in the markets, and we segment the data into stationary segments. It is observed that the autoregressive parameter is increasing but stays below 1.

Least Absolute Deviation Estimation of a Shift

1995 ◽  
Vol 11 (3) ◽  
pp. 403-436 ◽  
Author(s):  
Jushan Bai
Keyword(s):  
Asymptotic Theory ◽  
Rates Of Convergence ◽  
Monte Carlo Analysis ◽  
Asymptotic Distributions ◽  
Least Absolute Deviation ◽  
Absolute Deviation ◽  
Least Absolute Deviation Estimation ◽  
Regression Parameters ◽  
Shift Point ◽  
Linear Regressions

This paper develops the asymptotic theory for least absolute deviation estimation of a shift in linear regressions. Rates of convergence and asymptotic distributions for the estimated regression parameters and the estimated shift point are derived. The asymptotic theory is developed both for fixed magnitude of shift and for shift with magnitude converging to zero as the sample size increases. Asymptotic distributions are also obtained for trending regressors and for dependent disturbances. The analysis is carried out in the framework of partial structural change, allowing some parameters not to be influenced by the shift. Efficiency relative to least-squares estimation is also discussed. Monte Carlo analysis is performed to assess how informative the asymptotic distributions are.

Prediction of typhoon tracks using dynamic linear models

2003 ◽  
Vol 20 (3) ◽  
pp. 379-384 ◽  
Author(s):  
Keon-Tae Sohn ◽  
H. Joe Kwon ◽  
Ae-Sook Suh
Keyword(s):  
Linear Models ◽  
Dynamic Linear Models ◽  
Typhoon Tracks

Asymmetric Errors in Linear Models: Estimation—Theory and Monte Carlo

Statistics ◽  
1992 ◽  
Vol 23 (4) ◽  
pp. 305-320 ◽  
Author(s):  
J. C. Lind† ◽  
K. L. Mehra‡ ◽  
J. N. Sheahan‡
Keyword(s):  
Monte Carlo ◽  
Linear Models ◽  
Estimation Theory ◽  
Asymmetric Errors

scholarly journals Transportation Dynamic Behaviour of Structural Break and Consumer Price Index

2019 ◽  
Vol 8 (2) ◽  
pp. 283-290
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Price Index ◽  
Dynamic Behaviour ◽  
Structural Break ◽  
Consumer Price Index ◽  
Unit Root Test ◽  
Peninsular Malaysia ◽  
Cointegration Tests ◽  
Break Points

This paper studies the dynamic behaviour of transportation price in Peninsular Malaysia and Sabah from 2004 to 2015 using disaggregated monthly price data of consumer price index (CPI). For that, unit root tests and cointegration tests with structural breaks are incorporated. The findings indicated that (i) both Zivot and Andrews unit root test and Perron unit root test provided fairly similar results; most of the break points occurred in 2008, (ii) the variables cointegrate in the Johansen cointegration test which indicates that there is a long-run relationship and (iii) the Gregory and Hansen test also demonstrated some form of cointegration with structural break(s), especially in 2008. Overall, this study intends to match the structural break points with the comparable critical economic events

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