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Structural Change in (Economic) Time Series

Kleiber, Christian. (2016) Structural Change in (Economic) Time Series. WWZ Working Papers, 2016 (06). Basel.

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Abstract

Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data. The exposition is confined to retrospective methods for univariate time series. Several recent methods for dating structural changes are compared using a time series of oil prices spanning more than 60 years. The methods broadly agree for the first part of the series up to the mid-1980s, for which changes are associated with major historical events, but provide somewhat different solutions thereafter, reflecting a gradual increase in oil prices that is not well described by a step function. As a further illustration, 1990s data on the volatility of the Hang Seng stock market index are reanalyzed.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > ├ľkonometrie und Statistik (Kleiber)
12 Special Collections > WWZ Publications > WWZ Discussion Papers and Working Papers
UniBasel Contributors:Kleiber, Christian
Item Type:Working Paper
Publisher:WWZ
Number of Pages:13
Note:Publication type according to Uni Basel Research Database: Internet publication
Language:English
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Identification Number:
  • handle: RePEc:bsl:wpaper:2016/06
Last Modified:17 Aug 2018 14:07
Deposited On:22 Dec 2017 12:48

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