Performance of Methods Determining Structural Break in Linear Regression Models

Year 2019, , 70 - 83, 25.09.2019

Zümre Özdemir Güler , Mehmet Akif Bakır

https://doi.org/10.33818/ier.450804

Cited By: 2

Abstract

In
this study, performance evaluation of some suggested approaches for the
determination of structural break in a regression equation was studied. In this
context, firstly the theoretical structure of some well-known methods on
determination of structural break was considered by defining structural break
problem. Suggested tests for the determination of the structural break may have
performance differences under some factors. To demonstrate these differences, a
simulation study in terms of effects of factors considered as performances of
these methods. The results of the simulation revealed that the performances
varies in terms of some structural features from the suggested methods for
breakage determination.

Keywords

Structural break, Linear regression models, Model stability

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