Segmenting mean-nonstationary time series via trending regressions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10124946" target="_blank" >RIV/00216208:11320/12:10124946 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.jeconom.2012.02.003" target="_blank" >http://dx.doi.org/10.1016/j.jeconom.2012.02.003</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jeconom.2012.02.003" target="_blank" >10.1016/j.jeconom.2012.02.003</a>

Result language
angličtina
Original language name
Segmenting mean-nonstationary time series via trending regressions
Original language description
In this paper, we provide a segmentation procedure for mean-nonstationary time series. The segmentation is obtained by casting the problem into the. framework of detecting structural breaks in trending regression models in which the regressors are generated by suitably smooth functions. As test statistics we propose to use the maximally selected likelihood ratio statistics and a related statistics based on partial sums of weighted residuals. The main theoretical contribution of the paper establishes theextreme value distribution of these statistics and their consistency. To circumvent the slow convergence to the extreme value limit, we propose to employ a version of the circular bootstrap. This procedure is completely data-driven and does not requireknowledge of the time series structure. In an empirical part, we show in a simulation study and applications to air carrier traffic and S&P 500 data that the finite sample performance is very satisfactory.
Czech name
—
Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Project
<a href="/en/project/GA201%2F09%2F0755" target="_blank" >GA201/09/0755: Modelling nonhomogeneous time series</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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