Quotation Zeileis, Achim, Shah, Ajay, Patnaik, Ila. 2008. Testing, Monitoring, and Dating Structural Changes in Maximum Likelihood Models. Wien: Department of Mathematics and Statistics, Research Report Series, Report 70.


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Abstract

A unified toolbox for testing, monitoring, and dating structural changes is provided for likelihood-based regression models. In particular, least-squares methods for dating breakpoints 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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Testing, Monitoring, and Dating Structural Changes in Maximum Likelihood Models
Year 2008
URL http://epub.wu-wien.ac.at/dyn/virlib/wp/showentry?ID=epub-wu-01_dbc&from=NEW&style=blank

Associations

People
Zeileis, Achim (Former researcher)
External
Patnaik, Ila (India)
Shah, Ajay (India)
Organization
Institute for Statistics and Mathematics IN (Details)
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