Which would be the most commonly used (i.e. Often Referenced) techniques for detecting/assessing Structural Breaks within ARFIMA-GARCH modelled Time Series?
Hi Jorcy,
there are variety of tests for structural breaks in time-series data (both with and without a known break point). In Stata, you can use estat sbsingle and estat sbknown, respectively. Here are some suggested articles:
Andrews, D. W. K. 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61: 821–856.
Andrews, D. W. K., and W. Ploberger. 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62: 1383–1414.
Davies, R. B. 1987. Hypothesis testing when a nuisance parameter is present only under the alternative. Biometrika 74: 33–43.
Gali, J., and M. Gertler. 1999. Inflation dynamics: A structural econometric analysis. Journal of Monetary Economics 44: 195–222.
Hansen, B. E. 1997. Approximate asymptotic p values for structural-change tests. Journal of Business and Economic Statistics 15: 60–67.
Kim, H.-J., and D. Siegmund. 1989. The likelihood ratio test for a change-point in simple linear regression. Biometrika 76: 409–423.
Perron, P. 2006. Dealing with structural breaks. In Palgrave Handbook of Econometrics: Econometric Theory, Vol I, ed. T. C. Mills and K. Patterson, 278–352. Basingstoke, UK: Palgrave.
Quandt, R. E. 1960. Tests of the hypothesis that a linear regression system obeys two separate regimes. Journal of the American Statistical Association 55: 324–330.
Chow, G. C. 1960. Tests of equality between sets of coefficients in two linear regressions. Econometrica 28: 591–605.
I hope this helps
Ariel
I would suggest the method used in my attached preprint. The cites are Carlin et al (1992) and Best et al (1996), listed in the references. This is a Bayesian approach. Best wishes.
Hi Jorcy,
Here are some good tests for structural breaks in time-series data:
- Prodan (2008)
- Lee-Strazicich (2003, 2004)
- Bai-Perron (1998, 2003)
For an illustration please see my co-writed paper intituled "Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis"
Best regards,
Youssef
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