Quantifying the data-dredging bias in structural break tests

Structural break tests are often applied as a pre-step to ensure the validity of subsequent statistical analyses. Without any a priori knowledge of the type of breaks to expect, eye-balling the data can indicate changes in some parameter, e.g., the mean. This, however, can distort the result of a structural break test for that parameter, because the data themselves suggested the hypothesis. In this paper, we formalize the eye-balling procedure and theoretically derive the implied size distortion of the structural break test. We also show that eye-balling a stretch of historical data for possible changes in a parameter does not invalidate the subsequent procedure that monitors for structural change in new incoming observations. An empirical application to Bitcoin returns shows that taking into account the data-dredging bias, which is incurred by looking at the data, can lead to different test decisions.

COVID-19 pandemic and cryptocurrency markets: an empirical analysis from a linear and nonlinear causal relationship

Purpose This paper aims to empirically examine the effect of Coronavirus disease 2019 (COVID-19) pandemic on cryptocurrency market returns with particular attention to top five cryptocurrencies and COVID-19 confirmed and death cases. Design/methodology/approach The study applies the linear Toda and Yamamoto and nonlinear Diks and Panchenko Granger causality test to know the causal relationship of cryptocurrencies with COVID-19 pandemic. The study also uses the Narayan and Popp endogenous two structural break tests to capture the break period of the sample. Findings The findings of the study confirm the existence of unidirectional causal relation from COVID-19 confirmed and death cases to cryptocurrency price returns. While examining the break periods, the post-break period result indicates the presence of unidirectional linear causality from COVID-19 confirmed cases to Bitcoin and Ethereum price returns. This shows that prior knowledge of COVID-19 pandemic growth helps to predict the return of cryptocurrencies. Originality/value The study suggests the investors or crypto lovers to observe the growth of COVID-19 situations during their investment in cryptocurrency markets.

Spatial and temporal pattern of rice yield growth in Asian countries from 1961 to 2016: An exploratory econometric analysis

The present paper attempts to find out the spatial and temporal movement of rice yield in twelve countries in Asia which is its lifeline over the period 1961 to 2016 by following Bai-Perron multiple structural break tests. The results based on endogenous multiple structural break analysis show that many of these countries passed through several phases of acceleration and deceleration in rice yield over this period The results also demonstrate that except Japan, all the twelve countries considered in our study experienced at least one structural break in rice yield at level during the period 1961 to 2016. The acceleration phases of rice yield growth observed mostly during 1970's and 1980's are resulted from improved technological innovations in agriculture whereas deceleration phases observed in the last two decades are mainly caused by environmental challenges on rice production. Cross country yield gaps have been showing declining trend since early 80's.

Somehow I always end up alone: COVID-19, social isolation and crime in Queensland, Australia

The COVID-19 pandemic has dramatically affected social life. In efforts to reduce the spread of the virus, countries around the world implemented social restrictions, including social distancing, working from home, and the shuttering of numerous businesses. These social restrictions have also affected crime rates. In this study, we investigate the impact of the COVID-19 pandemic on the frequency of offending (crimes include property, violent, mischief, and miscellaneous) in Queensland, Australia. In particular, we examine this impact across numerous settings, including rural, regional and urban. We measure these shifts across the restriction period, as well as the staged relaxation of these restrictions. In order to measure impact of this period we use structural break tests. In general, we find that criminal offences have significantly decreased during the initial lockdown, but as expected, increased once social restrictions were relaxed. These findings were consistent across Queensland’s districts, save for two areas. We discuss how these findings are important for criminal justice and social service practitioners when operating within an extraordinary event.

Assessing the Stability of Money Demand Function in Saudi Arabia

This paper aims to investigate the stability of money demand function for Saudi Arabian economy over the period of 2007:Q1-2018:Q4 by applying various structural break tests. The obtained results from the utilized tests reveal the stability of money demand function. The estimated money demand function also shows the impact of income on money demand is consistent with theory expectations in addition to the positive impact of exchange rate and interest rate on the demand for money. Moreover, the estimated error correction model indicates that money demand needs about 5 quarters to adjust to its equilibrium path in case it deviates from the steady state condition.

Education and development projects in Brazil, 1932-2004: a critique

ABSTRACT The Second National Education Regulatory Framework (2nd LDB), enacted in 1971, changed the grade configuration of schooling levels in Brazil. This change made it challenging to construct a valid and reliable education spending data profile for 20th century Brazil. Previous work on the economic history of education in Brazil used the data provided according to the thesis of Maduro (2007). Wjuniski (2013) used that database and ran structural break tests and concluded that the Brazilian government underinvested in the expansion of secondary education. However, Wjuniski did not consider problems concerning: (i) data reliability and (ii) the effects of the 2nd LDB on education expenditure data. This paper shows that data on education spending in Brazil does not allow us to assert that there was an underinvestment in secondary education from 1971 onwards.

The Impact of Sanctions on the Eurasian Economic Union Members

The customs union created in 2010 between Russia, Kazakhstan and Belarus has moved to a further integration phase after five years. Two new members, Kyrgyzstan and Armenia, participated in this integration. But due to the political events in Ukraine and the joining of the Crimea to Russia, the US and the West have adopted economic sanctions against Russia from 2014. Moreover, oil and natural gas prices, a significant source of national income for Russia and some other countries, fell sharply during the same period. These events have adversely affected both the Russian economy and other countries’ economies. It is also mentioned by most researchers that it negatively affects the integration process. Therefore, in this study, it was aimed to determine the effects of sanctions on members of the Eurasian Economic Union with the help of structural break tests. Macro variables such as GDP, foreign trade, FDI, inflation, international reserves of EEU members have been used to achieve the goal. Unit root tests with structural break have shown that economic sanctions have a significant effect on some variables.