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

DOI10.1016/j.csda.2009.12.005zbMath1284.91596OpenAlexW2068204178WikidataQ57263814 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

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

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• 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