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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Kolmogorov-Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach
结构断裂 Kolmogorov-Smirnov检验 KS检验 调整范围 自归一化方法
2023/4/23
A popular self-normalization (SN) approach in time series analysis uses the variance of a partial sum as a self-normalizer. This is known to be sensitive to irregularities such as persistent autocorre...
International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?
labour force participation rates gender fractional integration structural breaks
2012/10/22
This paper examines the possibility of unit roots in the presence of endogenously determined multiple structural breaks in the total, female and male labour force participation rates (LFPR) for Austra...
Modelling outliers and structural breaks in dynamic linear models with a novel use of a heavy tailed prior for the variances: An alternative to the Inverted Gamma
Modelling outliers structural breaks Inverted Gamma
2011/7/19
In this paper we propose a new wider class of hypergeometric heavy tailed priors that are given as the convolution of a Student-t density for the location parameter and a Scaled Beta2 prior for the va...
Trend Extraction from Time Series with Structural Breaks and Missing Observations
Break point break point location dummies gaps Hodrick-Prescott filter interpolation Leser filter missing observations smoothing spline structural breaks time-series trend
2009/3/5
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series cont...
Structural Breaks in the Mexico's Integration into the World Stock Market
International Asset Pricing Segmentation Emerging Markets Structural Breaks
2010/11/1
This article investigates the evolution of the Mexican stock market integration into the world
market. First, we estimate the time-varying Mexican degree of market integration using an
international...