Add to ORKGA unified toolbox for testing, monitoring, and dating structural changes is provided for likelihood-based regression models. In particular, least-squares methods for dating break-points are extended to maximum likelihood estimation. The usefulness of all techniques is illustrated by assessing the stability of de facto exchange rate regimes. The toolbox is used for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and tracking the evolution of the Indian exchange rate regime since 1993
Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormal...
The Markov switching model (MSM) is considered interesting because it captures nonlinearity and stru...
We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm fo...
Regression models for de facto currency regime classification are complemented by inferential techni...
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertaint...
The paper presents an approach to the analysis of data that contains (multiple) structural changes i...
This paper discusses a number of likelihood ratio tests on long-run relations and common trends in t...
Description Exchange rate regression and structural change tools for estimating, testing, dating, an...
The classical approach to testing for structural change employs retrospective tests using a historic...
Although it appears that exchange rates behave as random walk processes, the possibility remains tha...
The nature of the time series properties of real exchange rates remains a contentious issue primaril...
Description Testing, monitoring and dating structural changes in (linear) regression models. strucch...
The classical approach to testing for structural change employs retrospective tests using a historic...
We propose a strategy for assessing structural stability in time-series frameworks when potential ch...
would like to thank Karim Abadir for his helpful comments and suggestions. The large appreciation an...
Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormal...
The Markov switching model (MSM) is considered interesting because it captures nonlinearity and stru...
We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm fo...
Regression models for de facto currency regime classification are complemented by inferential techni...
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertaint...
The paper presents an approach to the analysis of data that contains (multiple) structural changes i...
This paper discusses a number of likelihood ratio tests on long-run relations and common trends in t...
Description Exchange rate regression and structural change tools for estimating, testing, dating, an...
The classical approach to testing for structural change employs retrospective tests using a historic...
Although it appears that exchange rates behave as random walk processes, the possibility remains tha...
The nature of the time series properties of real exchange rates remains a contentious issue primaril...
Description Testing, monitoring and dating structural changes in (linear) regression models. strucch...
The classical approach to testing for structural change employs retrospective tests using a historic...
We propose a strategy for assessing structural stability in time-series frameworks when potential ch...
would like to thank Karim Abadir for his helpful comments and suggestions. The large appreciation an...
Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormal...
The Markov switching model (MSM) is considered interesting because it captures nonlinearity and stru...
We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm fo...