Stochastic Permanent Breaks

Robert F. Engle · Aaron Douglas Smith

186 citations0/0 files storedThe Review of Economics and Statistics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

This paper bridges the gap between processes where shocks are permanent and those with transitory shocks by formulating a process in which the long-run impact of each innovation is time-varying and stochastic. In the stochastic permanent breaks (STOPBREAK) process, frequent transitory shocks are supplemented by occasional permanent shifts. Consistency and asymptotic normality of quasi-maximum-likelihood estimates is established, and locally best hypothesis tests of the null of a random walk are developed. The model is applied to relative prices of pairs of stocks and significant test statistics result.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 186 citations exist upstream.

References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1992Tests for Parameter Instability in Regressions with 1(1) Processes 1988Searching For a Break in GNP 1992Tests for Parameter Instability in Regressions with I(1) Processes 1996Optimal changepoint tests for normal linear regression

Cited by

2007Fractional integration and structural breaks at unknown periods of time 2009IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS*2013Advances in Forecasting under Instability 2005An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series 2009Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.