Modeling structural breaks in economic relationships using large shocks

DOI10.1016/j.jedc.2009.10.001zbMath1230.91165OpenAlexW2037351434MaRDI QIDQ975916

George Kapetanios, Elias Tzavalis

Publication date: 11 June 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2009.10.001

zbMATH Keywords

state space modelstructural breaksoil shocks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Related Items (5)

Shifts in volatility driven by large stock market shocks ⋮ Testing for random coefficient autoregressive and stochastic unit root models ⋮ Time-varying instrumental variable estimation ⋮ Modeling structural breaks in economic relationships using large shocks ⋮ Inference on stochastic time-varying coefficient models

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