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Description
  • The paper is focused on testing significance of structural changes in time series. This problem is related to (non)constancy of regression parameters. Such assumption of linear regression model can be broken when a structural change appears, for example the world financial crisis actually. Basic methods dedicated for this purpose are group of Chow tests and CUSUM test. Different approaches to parameters constancy testing in the Chow style are discussed from the statistical point of view. Results of chosen methods are illustrated by application on data about military expenditures in the Czech Republic and the financial data.
  • The paper is focused on testing significance of structural changes in time series. This problem is related to (non)constancy of regression parameters. Such assumption of linear regression model can be broken when a structural change appears, for example the world financial crisis actually. Basic methods dedicated for this purpose are group of Chow tests and CUSUM test. Different approaches to parameters constancy testing in the Chow style are discussed from the statistical point of view. Results of chosen methods are illustrated by application on data about military expenditures in the Czech Republic and the financial data. (en)
Title
  • Testing Structural Changes in Economic Time Series
  • Testing Structural Changes in Economic Time Series (en)
skos:prefLabel
  • Testing Structural Changes in Economic Time Series
  • Testing Structural Changes in Economic Time Series (en)
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  • RIV/60162694:G42__/13:00497765!RIV14-MO0-G42_____
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • I, S
http://linked.open...iv/cisloPeriodika
  • 1
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 110646
http://linked.open...ai/riv/idVysledku
  • RIV/60162694:G42__/13:00497765
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • economic time series; structural changes; testing parameters constancy (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [1BC906A0DCFE]
http://linked.open...i/riv/nazevZdroje
  • Ekonomika a management
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http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 2013
http://linked.open...iv/tvurceVysledku
  • Doudová, Lucie
  • Hampel, David
issn
  • 1802-3975
number of pages
http://localhost/t...ganizacniJednotka
  • G42
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