skip to content
Essays on theoretical and empirical aspects of structural break models Preview this item
ClosePreview this item
Checking...

Essays on theoretical and empirical aspects of structural break models

Author: Tomoyoshi Yabu
Publisher: 2006.
Dissertation: Ph. D. Boston University 2006
Edition/Format:   Thesis/dissertation : Thesis/dissertation : Manuscript   Archival Material : EnglishView all editions and formats
Summary:
Abstract: This dissertation analyzes theoretical and empirical aspects of structural break models. The first chapter proposes a test for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. The procedure is based on a Feasible Quasi Generalized Least Squares method from a first-order autoregressive specification. The autoregressive  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Thesis/dissertation, Manuscript
Document Type: Book, Archival Material
All Authors / Contributors: Tomoyoshi Yabu
OCLC Number: 475009201
Notes: Vita.
Description: xv, 200 leaves : illustrations ; 28 cm
Responsibility: by Tomoyoshi Yabu.
More information:

Abstract:

Abstract: This dissertation analyzes theoretical and empirical aspects of structural break models. The first chapter proposes a test for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. The procedure is based on a Feasible Quasi Generalized Least Squares method from a first-order autoregressive specification. The autoregressive estimate is obtained by the Ordinary Least Squares method applied to detrended data and is truncated to take value 1 whenever the estimate is in some specified neighborhood of 1. This implies that inference on the slope parameter can be performed using the standard Normal distribution in both cases. The second chapter extends the analysis to the case of testing for changes in level or slope of the trend function. When the break dates are known, our test statistic has a chi-square limit distribution in both the stationary and unit root cases. When the break dates are unknown, a version of our test has nearly identical limit distributions in the two cases so that a testing procedure with nearly the same size can be obtained. We show our procedure to be substantially more powerful than currently available alternatives. The third chapter pertains to an empirical analysis involving a structural break. We analyze the reaction function of the Japanese monetary authorities in deciding when to intervene in the foreign exchange markets using daily Japanese data from April 1, 1991 to December 31, 2002. We document a regime change in June 21, 1995 when Dr. Sakakibara became in charge of intervention policy in Japan. The fourth chapter investigates real exchange rates dynamics. A standard model with transportation costs implies that real exchange rates should follow a band threshold model where the process is a random walk within the bands and mean-reverting outside them. Because of technological improvements, these bands should narrow over time. We examine whether this is the case in Japan. The evidence indicates that such a feature is not supported by the data, casting doubts on the relevance of such models to describe the behavior of exchange rates.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/475009201> # Essays on theoretical and empirical aspects of structural break models
    a bgn:Thesis, schema:Book, pto:Manuscript, schema:CreativeWork, schema:IndividualProduct ;
   bgn:inSupportOf "" ;
   library:oclcnum "475009201" ;
   schema:creator <http://viaf.org/viaf/78496711> ; # Tomoyoshi Yabu
   schema:datePublished "2006" ;
   schema:description "Abstract: This dissertation analyzes theoretical and empirical aspects of structural break models. The first chapter proposes a test for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. The procedure is based on a Feasible Quasi Generalized Least Squares method from a first-order autoregressive specification. The autoregressive estimate is obtained by the Ordinary Least Squares method applied to detrended data and is truncated to take value 1 whenever the estimate is in some specified neighborhood of 1. This implies that inference on the slope parameter can be performed using the standard Normal distribution in both cases. The second chapter extends the analysis to the case of testing for changes in level or slope of the trend function. When the break dates are known, our test statistic has a chi-square limit distribution in both the stationary and unit root cases. When the break dates are unknown, a version of our test has nearly identical limit distributions in the two cases so that a testing procedure with nearly the same size can be obtained. We show our procedure to be substantially more powerful than currently available alternatives. The third chapter pertains to an empirical analysis involving a structural break. We analyze the reaction function of the Japanese monetary authorities in deciding when to intervene in the foreign exchange markets using daily Japanese data from April 1, 1991 to December 31, 2002. We document a regime change in June 21, 1995 when Dr. Sakakibara became in charge of intervention policy in Japan. The fourth chapter investigates real exchange rates dynamics. A standard model with transportation costs implies that real exchange rates should follow a band threshold model where the process is a random walk within the bands and mean-reverting outside them. Because of technological improvements, these bands should narrow over time. We examine whether this is the case in Japan. The evidence indicates that such a feature is not supported by the data, casting doubts on the relevance of such models to describe the behavior of exchange rates."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/149133061> ;
   schema:inLanguage "en" ;
   schema:name "Essays on theoretical and empirical aspects of structural break models"@en ;
   schema:productID "475009201" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/475009201#PublicationEvent/2006> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/475009201> ;
    .


Related Entities

<http://viaf.org/viaf/78496711> # Tomoyoshi Yabu
    a schema:Person ;
   schema:familyName "Yabu" ;
   schema:givenName "Tomoyoshi" ;
   schema:name "Tomoyoshi Yabu" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.