SUMSRM: A New Statistic for the Structural Break Detection in Time Series

This article investigates the degree of persistence in the international monthly tourist time series in Spain using long memory (fractional integration) techniques. Our findings can be summarized as follows. The two standard hypotheses of integer degrees of differentiation, i.e., the I(0) and the I(1) behaviour, are clearly rejected. The series is found to be I(d) with a value of d in the interval (0.421, 0.780) thus implying long memory behaviour and mean reverting behaviour. However, if a structural break is considered, it takes place at May 2007, and then, the two subsamples present orders of integration which are above 1 and thus rejecting the mean reverting hypothesis.

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Testing of breakdates in agricultural prices of selected representatives of animal production

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis ◽

10.11118/actaun201260070045 ◽

2012 ◽

Vol 60 (7) ◽

pp. 45-54

Author(s):

Petra Bubáková

Keyword(s):

Time Series ◽

Structural Breaks ◽

Structural Break ◽

Animal Production ◽

Economic Environment ◽

Ar Model ◽

Model Parameters ◽

Agricultural Prices ◽

Complex Models ◽

Food Market

This paper deals with an investigation of breakdates in agricultural prices. A structural break has occurred if at least one of the model parameters has changed at some date. This date is a breakdate. Ignoring structural breaks in time series can lead to serious problems with economic models of time series. The aim is to determine the number and date of the breakdates in individual time series and connect them with changes in the market and economic environment. The time series of agricultural price relating to animal production, namely the prices of pork, beef, chicken, milk and eggs, are analyzed for the period from January 1996 to December 2011. The autoregressive model (AR) model of Box-Jenkins methodology and stability testing according to Quandt or Wald statistics are used for the purposes of this paper. Multiple breakdates are found in the case of eggs (September 1998, May 2004), milk (October 1999, December 2007) and chicken (October 2002, February 2005) prices. One breakdate was detected in the prices of beef (April 2002) and none in the case of pork prices. The results show the importance of multiple breakdate testing. The Quandt statistic provides one possible way of applying a multiple approach. All breakdates which were confirmed using these statistics can be associated with changes in the agri-food market and economic environment. Information about the date of changes in the time series can be used for other unbiased modelling in more complex models.

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The Identification of Precursor Regulation Impact on the Methamphetamine Market and Public Health Indicators in the Czech Republic: Time Series Structural Break Analysis

International Journal of Environmental Research and Public Health ◽

10.3390/ijerph17217840 ◽

2020 ◽

Vol 17 (21) ◽

pp. 7840

Author(s):

Benjamin Petruželka ◽

Miroslav Barták

Keyword(s):

Public Health ◽

Time Series ◽

Czech Republic ◽

Structural Breaks ◽

Structural Changes ◽

Structural Break ◽

Health Indicators ◽

Drug Market ◽

Test Framework ◽

The Impact

Background: This study provides insight into the impact of methamphetamine precursor regulation, which is considered to be one of the most important tools of supply reduction and a tool with potential public health impact. Methods: It is based on a longitudinal and quasi-experimental design and it investigates the changes of methamphetamine precursor regulation in Czech Republic, which is treated as a natural experiment. The statistical analysis uses features from the generalized fluctuation test framework as well as from the F test framework to estimate structural changes in the methamphetamine-related arrests and nonfatal intoxications time series. Results: The analysis identified structural breaks in the majority of the methamphetamine drug market-related time series in the period related to the tightening of regulation. The results of this study show that methamphetamine precursor regulation was associated with the proliferation of international and organized crime groups and with no change in the overall number of arrests and nonfatal intoxications. Conclusions: The precursor regulation ceteris paribus plausibly leads to the change in drug supply towards more organized groups and to an increasing involvement of foreign nationals at the drug market and is not effective in suppressing the methamphetamine market and in reducing the public health indicator of nonfatal methamphetamine intoxications.

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“Infernum”

Handbook of Research on the Impacts and Implications of COVID-19 on the Tourism Industry - Advances in Hospitality, Tourism, and the Services Industry ◽

10.4018/978-1-7998-8231-2.ch006 ◽

2021 ◽

pp. 115-134

Author(s):

Dilek Çetin ◽

Erkan Erdil

Keyword(s):

Time Series ◽

Time Series Analysis ◽

Structural Break ◽

Health Tourism ◽

Series Analysis ◽

Tourism Sector

The tourism sector is directly and enormously influenced by COVID-19. The main aim of this study is to investigate the effect of COVID-19 on health tourism income and tourism income. The tourism income and health tourism income of Turkey are used for the 2002Q1-2020Q4 period for time series analysis. For both variables, the structural break is detected for the 2020Q1 period. The main conclusion of this study is that actual tourism income is 60% less than the forecast value while health tourism income is 39% less. One way causality from health tourism income to tourism income is found which indicates forward linkages of health tourism.

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