Tag: structural breaks

Running publicly available GAUSS code: Part 2

This week’s blog brings you the second video in the series examining running publicly available GAUSS code. This video runs the popular code by Hatemi-J for testing cointegration with multiple structural breaks. In this video you will learn how to:
  • Substitute your own dataset.
  • Modify the indexing commands for your data.
  • Remove missing values.
  • Preview your data after loading with the Ctrl+E keyboard shortcut.
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A Simple Test for Structural Breaks in Variance

Though many standard econometric models assume that variance is constant, structural breaks in variance are well-documented, particularly in economic and finance data. If these changes are not accurately accounted for, they can hinder forecast inference measures, such as forecast variances and intervals. In this blog, we consider a tool that can be used to help locate structural breaks in variance — the iterative cumulative sum of squares algorithm(ICSS) (Inclan and Tiao, 1994).
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The Effects of Structural Breaks on GMM models

[markdown] While structural breaks are a widely examined topic in pure time series, their impacts on panel data models have garnished less attention. However, in their forthcoming paper [Chowdhury and Russell (2018)](https://onlinelibrary.wiley.com/doi/abs/10.1111/sjpe.12142) demonstrate that [structural breaks](https://www.aptech.com/structural-breaks/) can cause bias in the instrumental variable panel estimation framework. This work highlights that structural breaks shouldn’t be limited to pure time series models and warrant equal attention in panel data models. [/markdown]
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