scholarly journals Multiple Structural Breaks in Profit Share Rates of Participation Banks in Turkey: Are They Caused by the Recent Global Crises?

10.26414/a079 ◽  
2020 ◽  
Vol 7 (2) ◽  
pp. 91-125
Author(s):  
Mehmet Levent Erdas
Keyword(s):  
Structural Breaks ◽  
Multiple Structural Breaks ◽  
Profit Share

Multiple structural breaks in cointegrating regressions: a model selection approach

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Alexander Schmidt ◽  
Karsten Schweikert
Keyword(s):  
Structural Breaks ◽  
Penalized Regression ◽  
Adaptive Lasso ◽  
Test Statistics ◽  
New Approach ◽  
Multiple Structural Breaks ◽  
Long Run ◽  
Model Selection Approach ◽  
Regression Techniques ◽  
Lasso Estimator

Abstract In this paper, we propose a new approach to model structural change in cointegrating regressions using penalized regression techniques. First, we consider a setting with known breakpoint candidates and show that a modified adaptive lasso estimator can consistently estimate structural breaks in the intercept and slope coefficient of a cointegrating regression. Second, we extend our approach to a diverging number of breakpoint candidates and provide simulation evidence that timing and magnitude of structural breaks are consistently estimated. Third, we use the adaptive lasso estimation to design new tests for cointegration in the presence of multiple structural breaks, derive the asymptotic distribution of our test statistics and show that the proposed tests have power against the null of no cointegration. Finally, we use our new methodology to study the effects of structural breaks on the long-run PPP relationship.

Globalization, Real Output and Multiple Structural Breaks

2011 ◽  
Vol 40 (4) ◽  
pp. 421-444 ◽  
Author(s):  
Chun-Ping Chang ◽  
Chien-Chiang Lee ◽  
Meng-Chi Hsieh
Keyword(s):  
Structural Breaks ◽  
Real Output ◽  
Multiple Structural Breaks

scholarly journals Forecasting House Prices in the United States with Multiple Structural Breaks

2014 ◽  
Vol 6 (1) ◽  
pp. 1-23 ◽  
Author(s):  
Mahua Barari ◽  
Nityananda Sarkar ◽  
Srikanta Kundu ◽  
Kushal Banik Chowdhury
Keyword(s):  
United States ◽  
Structural Breaks ◽  
House Prices ◽  
The United States ◽  
Multiple Structural Breaks
Sign in / Sign up

Export Citation Format

Share Document