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Inference on Structural Breaks using Information Criteria
16 references·1 citing·40 second hop
Inference on Structural Breaks using Information Criteria (2013)Inference on Structural Breaks using Info…The New Keynesian Phillips Curve: From Sticky Inflation to Sticky Prices (2008)The New Keynesian Phillips Cu…Using Taylor Rules to Understand European Central Bank Monetary Policy (2007)Using Taylor Rules to Underst…Were There Regime Switches in U.S. Monetary Policy? (2006)Were There Regime Switches in…Selection of estimation window in the presence of breaks (2006)Selection of estimation windo…Multiple Structural Change Models: A Simulation Analysis (2006)Multiple Structural Change Mo…Has the inflation process changed? (2006)Has the inflation process cha…Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data (2005)Has U.S. Monetary Policy Chan…Has Euro-Area Inflation Persistence Changed Over Time? (2005)Has Euro-Area Inflation Persi…An area-wide model for the euro area (2004)An area-wide model for the eu…Information Variables for Monetary Policy in a Small Structural Model of the Euro Area (2003)Information Variables for Mon…An Area Wide Model (Awm) for the Euro Area (2003)An Area Wide Model (Awm) for …Likelihood ratio tests for multiple structural changes (1999)Likelihood ratio tests for mu…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Estimating the number of change-points via Schwarz' criterion (1988)Estimating the number of chan…Volatility and dynamic conditional correlations of worldwide emerging and frontier markets (2014)Volatility and dynamic condit…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review and annotated bibliography (1990)Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2012)Rolling window selection for out-of-sample forecasting with time-varying parameters (2016)Corn Cash Price Forecasting (2020)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Econometric policy evaluation: A critique (1976)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)The Term Structure of Real Rates and Expected Inflation (2007)The Determinants of Stock and Bond Return Comovements (2010)Regime Changes and Financial Markets (2012)Rules, discretion and reputation in a model of monetary policy (1983)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)European inflation dynamics (2001)An Estimated Stochastic Dynamic General Equilibrium Model of the Euro Area (2003)Oil price shocks and real GDP growth: empirical evidence for some OECD countries (2005)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)Macroeconomic Shocks and Their Propagation (2016)Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Dealing with Structural Breaks (2005)A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data (2013)Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE Approach (2005)How Has the Monetary Transmission Mechanism Evolved Over Time? (2010)Breaking the panels: An application to the GDP per capita (2005)Instability of return prediction models (2006)Energy consumption and GDP revisited: A panel analysis of developed and developing countries (2007)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2006Were There Regime Switches in U.S. Monetary Policy?1,607 cited
  • 2003An Area Wide Model (Awm) for the Euro Area641 cited
  • 1988Estimating the number of change-points via Schwarz' criterion628 cited
  • 2004An area-wide model for the euro area478 cited
  • 2006Selection of estimation window in the presence of breaks473 cited
  • 2005Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data327 cited
  • 2006Multiple Structural Change Models: A Simulation Analysis310 cited
  • 1999Likelihood ratio tests for multiple structural changes249 cited
  • 2005Has Euro-Area Inflation Persistence Changed Over Time?197 cited
  • 2006Has the inflation process changed?150 cited
  • 2003Information Variables for Monetary Policy in a Small Structural Model of the Euro Area145 cited
  • 2007Using Taylor Rules to Understand European Central Bank Monetary Policy139 cited

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  • 2008The New Keynesian Phillips Curve: From Sticky Inflation to Sticky Prices95 cited
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    • 2014Volatility and dynamic conditional correlations of worldwide emerging and frontier markets49 cited