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Testing, monitoring, and dating structural changes in maximum likelihood models

Zeileis, Achim and Shah, Ajay and Patnaik, Ila (2008) Testing, monitoring, and dating structural changes in maximum likelihood models. Research Report Series / Department of Statistics and Mathematics, 70. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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Abstract

A unified toolbox for testing, monitoring, and dating structural changes is provided for likelihood-based regression models. In particular, least-squares methods for dating breakpoints are extended to maximum likelihood estimation. The usefulness of all techniques is illustrated by assessing the stability of de facto exchange rate regimes. The toolbox is used for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and tracking the evolution of the Indian exchange rate regime since 1993.

Item Type: Paper
Keywords: parameter instability / structural change tests / monitoring / dating / foreign exchange rates / CNY / INR
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 19 Aug 2008 02:10
Last Modified: 07 Mar 2017 07:29
URI: http://epub.wu.ac.at/id/eprint/1224

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