Testing, monitoring, and dating structural changes in exchange rate regimes

DOI10.1016/j.csda.2009.12.005zbMath1284.91596DBLPjournals/csda/ZeileisSP10OpenAlexW2068204178WikidataQ57263814 ScholiaQ57263814MaRDI QIDQ2445622

Ajay Shah, Achim Zeileis, Ila Patnaik

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.12.005

zbMATH Keywords

foreign exchange ratesparameter instabilityCNYINR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (8)

Tests of measurement invariance without subgroups: a generalization of classical methods ⋮ Testing, monitoring, and dating structural changes in exchange rate regimes ⋮ Modified sequential change point procedures based on estimating functions ⋮ Non-monotonic penalizing for the number of structural breaks ⋮ On the online estimation of local constant volatilities ⋮ CUSUM control charts for monitoring optimal portfolio weights ⋮ Multiple Testing of Local Extrema for Detection of Change Points ⋮ Inference for single and multiple change-points in time series

Uses Software

• R
• strucchange

Cites Work

• Unnamed Item
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• Testing and dating of structural changes in practice
• Implementing a class of structural change tests: an econometric computing approach
• Fitting multiple change-point models to data
• Monitoring changes in linear models
• Testing, monitoring, and dating structural changes in exchange rate regimes
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Testing for the Constancy of Parameters Over Time
• The Modern History of Exchange Rate Arrangements: A Reinterpretation
• Monitoring Structural Change
• Microeconometrics
• A Unified Approach to Structural Change Tests Based on ML Scores,FStatistics, and OLS Residuals

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