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End-of-Sample Instability Tests

Citations

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Cited by:

  1. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
  2. Jianfei Cao & Connor Dowd, 2019. "Estimation and Inference for Synthetic Control Methods with Spillover Effects," Papers 1902.07343, arXiv.org, revised Nov 2019.
  3. Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
  4. Hidalgo, Javier & Seo, Myung Hwan, 2013. "Testing for structural stability in the whole sample," Journal of Econometrics, Elsevier, vol. 175(2), pages 84-93.
  5. Elliott, Graham & Muller, Ulrich K., 2007. "Confidence sets for the date of a single break in linear time series regressions," Journal of Econometrics, Elsevier, vol. 141(2), pages 1196-1218, December.
  6. Günes Kamber & James Morley & Benjamin Wong, 2018. "Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter," The Review of Economics and Statistics, MIT Press, vol. 100(3), pages 550-566, July.
  7. Rao, B. Bhaskara & Tamazian, Artur & Kumar, Saten, 2010. "Systems GMM estimates of the Feldstein-Horioka puzzle for the OECD countries and tests for structural breaks," Economic Modelling, Elsevier, vol. 27(5), pages 1269-1273, September.
  8. Boysen-Hogrefe, Jens & Dovern, Jonas & Gern, Klaus-Jürgen & Jannsen, Nils & Van Roye, Björn & Scheide, Joachim & Boss, Alfred & Groll, Dominik & Meier, Carsten-Patrick, 2010. "Weltkonjunktur und deutsche Konjunktur im Winter 2009," Kiel Discussion Papers 470/471, Kiel Institute for the World Economy (IfW Kiel).
  9. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
  10. Ray Fair, 2002. "Risk Aversion and Stock Prices," Yale School of Management Working Papers ysm311, Yale School of Management, revised 01 Aug 2007.
  11. Eskandar Elmarzougui & Bruno Larue, 2013. "On the Evolving Relationship Between Corn and Oil Prices," Agribusiness, John Wiley & Sons, Ltd., vol. 29(3), pages 344-360, June.
  12. Ana Venâncio & João Pereira dos Santos, 2021. "The effect of Brexit on British workers living in the EU," Working Papers REM 2021/0197, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  13. Benner, Joachim & Carstensen, Kai & Gern, Klaus-Jürgen & Oskamp, Frank & Scheide, Joachim, 2004. "Euroland: Recovery will slow down," Kiel Discussion Papers 415, Kiel Institute for the World Economy (IfW Kiel).
  14. Huanjun Zhu & Vasilis Sarafidis & Mervyn J Silvapulle, 2020. "A new structural break test for panels with common factors [Panel data models with multiple time-varying individual effects]," The Econometrics Journal, Royal Economic Society, vol. 23(1), pages 137-155.
  15. Carstensen, Kai & Gern, Klaus-Jürgen & Kamps, Christophe & Scheide, Joachim, 2003. "Euroland: Stagnation wird allmählich überwunden," Munich Reprints in Economics 19932, University of Munich, Department of Economics.
  16. Manuel Funke & Moritz Schularick & Christoph Trebesch, 2023. "Populist Leaders and the Economy," American Economic Review, American Economic Association, vol. 113(12), pages 3249-3288, December.
  17. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  18. Felix Chan Tommaso Mancini-Griffoli Laurent L. Pauwels, 2006. "Stability Tests for Heterogeneous Panel Data," IHEID Working Papers 24-2006, Economics Section, The Graduate Institute of International Studies, revised Dec 2006.
  19. Arindrajit Dube & Ethan Kaplan & Suresh Naidu, 2011. "Coups, Corporations, and Classified Information," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 126(3), pages 1375-1409.
  20. Giovanni Peri & Derek Rury & Justin C. Wiltshire, 2024. "The Economic Impact of Migrants from Hurricane Maria," Journal of Human Resources, University of Wisconsin Press, vol. 59(6), pages 1795-1829.
  21. Benjamin Born & Gernot J Müller & Moritz Schularick & Petr Sedláček, 2019. "The Costs of Economic Nationalism: Evidence from the Brexit Experiment," The Economic Journal, Royal Economic Society, vol. 129(623), pages 2722-2744.
  22. Carstensen, Kai, 2004. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy (IfW Kiel).
  23. Ben Brewer & Karen Smith Conway & Deniz Ozabaci & Robert S. Woodward, 2022. "US Health Care Expenditures, GDP and Health Policy Reforms: Evidence from End-of-Sample Structural Break Tests," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 48(4), pages 451-487, October.
  24. Sam Astill & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2017. "Tests for an end-of-sample bubble in financial time series," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 651-666, October.
  25. repec:cep:stiecm:/2011/558 is not listed on IDEAS
  26. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
  27. Michael W. McCracken, 2012. "Consistent Testing for Structural Change at the Ends of the Sample," Advances in Econometrics, in: 30th Anniversary Edition, pages 133-169, Emerald Group Publishing Limited.
  28. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
  29. Victor Chernozhukov & Kaspar Wüthrich & Yinchu Zhu, 2021. "An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(536), pages 1849-1864, October.
  30. repec:zbw:bofism:2006_035 is not listed on IDEAS
  31. Fabio Busetti & Pietro Cova & Antonio Maria Conti & Filippo Scoccianti & Libero Monteforte & Giordano Zevi & Valentina Aprigliano & Andrea Gerali & Alberto Locarno & Alessandro Notarpietro & Massimili, 2014. "The effects of the crisis on production potential and household spending in Italy," Workshop and Conferences 18, Bank of Italy, Economic Research and International Relations Area.
  32. van Norden, Simon, 2011. "Current trends in the analysis of Canadian productivity growth," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 5-25, January.
  33. Fair Ray C, 2005. "Policy Effects in the Post Boom U.S. Economy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 5(1), pages 1-31, August.
  34. Marilena Furno, 2008. "Quantile regressions analysis of the Italian school system," Working Papers 2008-06, Universita' di Cassino, Dipartimento di Economia e Giurisprudenza.
  35. Drechsel, Katja & Scheufele, Rolf, 2012. "The performance of short-term forecasts of the German economy before and during the 2008/2009 recession," International Journal of Forecasting, Elsevier, vol. 28(2), pages 428-445.
  36. Benjamin Born & Gernot J. Müller & Moritz Schularick & Petr Sedláček, 2021. "The macroeconomic impact of Trump," Policy Studies, Taylor & Francis Journals, vol. 42(5-6), pages 580-591, November.
  37. Okui, Ryo & Wang, Wendun, 2021. "Heterogeneous structural breaks in panel data models," Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
  38. Koustas, Zisimos & Serletis, Apostolos, 2005. "Rational bubbles or persistent deviations from market fundamentals?," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2523-2539, October.
  39. Ray C. Fair, 2002. "Risk Aversion and Stock Prices," Cowles Foundation Discussion Papers 1382, Cowles Foundation for Research in Economics, Yale University, revised Feb 2003.
  40. repec:cep:stiecm:em/2011/558 is not listed on IDEAS
  41. von Hagen, Jurgen & Schmitz, Birgit, 2009. "Current Account Imbalances and Financial Integration in the Euro Area," CEPR Discussion Papers 7262, C.E.P.R. Discussion Papers.
  42. Neil Kellard & Denise Osborn & Jerry Coakley & Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 741-762, September.
  43. Cizek, P., 2010. "Modelling Conditional Heteroscedasticity in Nonstationary Series," Discussion Paper 2010-84, Tilburg University, Center for Economic Research.
  44. Tommaso Mancini Griffoli, 2006. "Explaining the Euro's Effect on Trade? Interest Rates in an Augmented Gravity Equation," IHEID Working Papers 10-2006, Economics Section, The Graduate Institute of International Studies.
  45. Ray Fair, 2002. "Testing for a New Economy in the 1990s," Yale School of Management Working Papers ysm323, Yale School of Management, revised 01 Aug 2007.
  46. Fair, Ray C., 2021. "Trade models and macroeconomics," Economic Modelling, Elsevier, vol. 94(C), pages 296-302.
  47. Benner, Joachim & Carstensen, Kai & Gern, Klaus-Jürgen & Oskamp, Frank & Scheide, Joachim, 2004. "Euroland: Konjunktur verliert wieder an Fahrt," Munich Reprints in Economics 20244, University of Munich, Department of Economics.
  48. Edgar E. Twine & James Rude & Jim Unterschultz, 2016. "Country of Origin Labeling and Structural Change in U.S. Imports of Canadian Cattle and Beef," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 64(3), pages 545-563, September.
  49. KUROZUMI, Eiji & 黒住, 英司, 2017. "Confidence Sets for the Date of a Mean Shift at the End of a Sample," Discussion Papers 2017-06, Graduate School of Economics, Hitotsubashi University.
  50. Rómulo Chumacero, 2010. "On the Importance of the Arrival of New Information," Estudios de Economia, University of Chile, Department of Economics, vol. 37(2 Year 20), pages 207-215, December.
  51. Carstensen, Kai & Gern, Klaus-Jürgen & Kamps, Christophe & Scheide, Joachim, 2003. "Gradual recovery in Euroland," Kiel Discussion Papers 405, Kiel Institute for the World Economy (IfW Kiel).
  52. repec:cep:stiecm:em/2013/561 is not listed on IDEAS
  53. Ronald Bewley & Minxian Yang, 2006. "A hybrid forecasting approach for piece-wise stationary time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 513-527.
  54. Bent Nielsen & Andrew Whitby, 2015. "A Joint Chow Test for Structural Instability," Econometrics, MDPI, vol. 3(1), pages 1-31, March.
  55. Tommaso Mancini-Griffoli & Laurent L. Pauwels, 2006. "Is There a Euro Effect on Trade? An Application of End-of-Sample Structural Break Tests for Panel Data," IHEID Working Papers 04-2006, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
  56. Tello-Pacheco, Mario, 2023. "Los “spillovers” del COVID-19 sobre el empleo y el ingreso en Perú," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 42(75), pages 161-195, January.
  57. Jinyong Hahn & Ruoyao Shi, 2017. "Synthetic Control and Inference," Econometrics, MDPI, vol. 5(4), pages 1-12, November.
  58. repec:cep:stiecm:/2013/561 is not listed on IDEAS
  59. repec:hum:wpaper:sfb649dp2008-002 is not listed on IDEAS
  60. Schmitz, Birgit & von Hagen, Jürgen, 2011. "Current account imbalances and financial integration in the euro area," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1676-1695.
  61. repec:cte:wbrepe:wb063209 is not listed on IDEAS
  62. Wang‐Sheng Lee & Sandy Suardi, 2011. "Minimum Wages and Employment: Reconsidering the Use of a Time Series Approach as an Evaluation Tool," British Journal of Industrial Relations, London School of Economics, vol. 49(Supplemen), pages 376-401, July.
  63. Ray Fair, 2002. "Testing for a New Economy in the 1990s," Yale School of Management Working Papers ysm323, Yale School of Management, revised 01 Aug 2007.
  64. Pauwels Laurent L. & Chan Felix & Mancini Griffoli Tommaso, 2012. "Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-35, November.
  65. Fabio Busetti, 2012. "On detecting end-of-sample instabilities," Temi di discussione (Economic working papers) 881, Bank of Italy, Economic Research and International Relations Area.
  66. Chiquiar, Daniel & Ramos-Francia, Manuel, 2005. "Trade and business-cycle synchronization: evidence from Mexican and U.S. manufacturing industries," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 187-216, August.
  67. Chiquiar Daniel & Ramos Francia Manuel, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
  68. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
  69. Sam Astill & David I. Harvey & Stephen J. Leybourne & Robert Sollis & A. M. Robert Taylor, 2018. "Real‐Time Monitoring for Explosive Financial Bubbles," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 863-891, November.
  70. Jianfei Cao & Shirley Lu, 2019. "Synthetic Control Inference for Staggered Adoption: Estimating the Dynamic Effects of Board Gender Diversity Policies," Papers 1912.06320, arXiv.org.
  71. El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
  72. Ingrid Groessl & Artur Tarassow, 2015. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201504, University of Hamburg, Department of Socioeconomics, revised Jan 2018.
  73. Boss, Alfred & Dovern, Jonas & Groll, Dominik & Meier, Carsten-Patrick & van Roye, Björn & Scheide, Joachim, 2010. "Aufschwung lässt auf sich warten," Open Access Publications from Kiel Institute for the World Economy 32954, Kiel Institute for the World Economy (IfW Kiel).
  74. Prettner, Catherine, 2016. "Nonlinearities and Parameter Instability in the Finance-Growth Nexus," Department of Economics Working Paper Series 224, WU Vienna University of Economics and Business.
  75. Cizek, P. & Haerdle, W. & Spokoiny, V., 2007. "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Other publications TiSEM a797e4a8-12cf-4ac5-9fae-b, Tilburg University, School of Economics and Management.
  76. Hahn, Jinyong & Ham, John C. & Moon, Hyungsik Roger, 2011. "The Hausman test and weak instruments," Journal of Econometrics, Elsevier, vol. 160(2), pages 289-299, February.
  77. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
  78. Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2006_035, July.
  79. Anton Skrobotov, 2022. "Testing for explosive bubbles: a review," Papers 2207.08249, arXiv.org.
  80. Eiji Kurozumi, 2018. "Confidence Sets for the Date of a Structural Change at the End of a Sample," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 850-862, November.
  81. Patrick Richard, 2010. "Kernel smoothing end of sample instability tests P values," Cahiers de recherche 10-19, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
  82. Furno, Marilena, 2013. "Quantile regression and structural change in the Italian wage equation," Economic Modelling, Elsevier, vol. 30(C), pages 420-434.
  83. Qian, Junhui & Su, Liangjun, 2016. "Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso," Journal of Econometrics, Elsevier, vol. 191(1), pages 86-109.
  84. Ray Fair, 2005. "Policy Effects in the Post Boom U.S. Economy," Yale School of Management Working Papers amz2629, Yale School of Management.
  85. Fabrizio Iacone & Luca Rossini & Andrea Viselli, 2024. "Comparing predictive ability in presence of instability over a very short time," Papers 2405.11954, arXiv.org.
  86. Catherine Prettner, 2016. "Nonlinearities and Parameter Instability in the Finance-Growth Nexus," Department of Economics Working Papers wuwp224, Vienna University of Economics and Business, Department of Economics.
  87. Soraya Roman, 2011. "Labour costs, informal economy and labor law reforms in Bolivia," Development Research Working Paper Series 08/2011, Institute for Advanced Development Studies.
  88. Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Scientific Monographs, Bank of Finland, number 35/2006.
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