Research Article
Performance of Methods Determining Structural Break in Linear Regression Models
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.
References
- Antoshin, S., Berg, A. and Souto, R. M. (2008). Testing for Structural Breaks in Small Samples. IMF Working Paper No.75.
- Brown, R. L., Durbın, J., Evans, J. M. (1975). Techniques for Testing the Constancy of Regression Relationships over Time. Journal of the Royal Statistical Society, 37, 149-192.
- Chow, C. G. (1960). Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, 28 (3), 591-605.
- Gujarati, D. N. (1970). Use Of Dummy Variables In Testing For Equality Between Sets Of Cooefficients In Linear Regressions: A Generalization. The American Statistician, 24 (5), 18-22.
- Gujarati, D. N. (2004). Basic Econometrics. Fourth Edition, New York City, US: McGraw-Hill Companies.
- Guris,S. and Caglayan, E. (2010). Basic Econometric Notions, Istanbul, Turkey: Der Yayınevi, 382-383.
- Hansen, E. B. (1992). Testing For Paremeter Instability In Linear Models. Journal Of Policy Modeling, 14 (4), 517-533.
- Hendry, D. F. (1989). PC-Give: An Interactive Econometric Modeling System. University of Oxford.
- Toyoda, T. (1974). Use Of The Chow Test Under Heteroscedasticity. Econometrica, 42 (3), 601-608.
Abstract
References
- Antoshin, S., Berg, A. and Souto, R. M. (2008). Testing for Structural Breaks in Small Samples. IMF Working Paper No.75.
- Brown, R. L., Durbın, J., Evans, J. M. (1975). Techniques for Testing the Constancy of Regression Relationships over Time. Journal of the Royal Statistical Society, 37, 149-192.
- Chow, C. G. (1960). Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, 28 (3), 591-605.
- Gujarati, D. N. (1970). Use Of Dummy Variables In Testing For Equality Between Sets Of Cooefficients In Linear Regressions: A Generalization. The American Statistician, 24 (5), 18-22.
- Gujarati, D. N. (2004). Basic Econometrics. Fourth Edition, New York City, US: McGraw-Hill Companies.
- Guris,S. and Caglayan, E. (2010). Basic Econometric Notions, Istanbul, Turkey: Der Yayınevi, 382-383.
- Hansen, E. B. (1992). Testing For Paremeter Instability In Linear Models. Journal Of Policy Modeling, 14 (4), 517-533.
- Hendry, D. F. (1989). PC-Give: An Interactive Econometric Modeling System. University of Oxford.
- Toyoda, T. (1974). Use Of The Chow Test Under Heteroscedasticity. Econometrica, 42 (3), 601-608.
There are 9 citations in total.
Details
| Primary Language | English |
|---|---|
| Subjects | Business Administration |
| Journal Section | Articles |
| Authors | |
| Publication Date | September 25, 2019 |
| Submission Date | August 3, 2018 |
| Published in Issue | Year 2019 Volume: 11 Issue: 2 |