Structural Change in (Economic) Time Series

Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data. The exposition is confined to retrospective methods for univariate time series. Several recent methods for dating structural changes are compared using a time series of oil prices spanning more than 60 years. The methods broadly agree for the first part of the series up to the mid-1980s, for which changes are associated with major historical events, but provide somewhat different solutions thereafter, reflecting a gradual increase in oil prices that is not well described by a step function. As a further illustration, 1990s data on the volatility of the Hang Seng stock market index are reanalyzed.Comment: 12 pages, 6 figure

Non-renewable resource prices: Structural breaks and long term trends

In this paper we examine the time series properties of nine non-renewable resources. In particular we are concerned with understanding the relationship between the number of structural breaks in the data and the nature of the resource price path, i.e. is it stationary or a random walk. To undertake our analysis we employ a number of relevant econometric methods including Bai and Perron`s (1998) multiple structural break dating method. Our results indicate that these series are in many cases stationary and subject to a number of structural breaks. These results indicate that a deterministic model of resources prices may well be appropriate.structural change, non-renewable resources, breaks, resource depletion

New developments in the scientific dating of brick.

Fired clay brick has been widely used in the construction of buildings in many parts of Europe since its introduction by the Romans, and the extremely robust physical properties of fired clay enable bricks to endure within the archaeological record for many centuries, notably as structural elements in standing buildings. Most ancient standing buildings, erected wholly or partially in brick, have undergone alterations since their original construction and consequently usually have a complex history. The current approaches to unravelling building histories have the capability to date the original construction and subsequent alterations to within several years or better where structural analysis combined with searches for documentary evidence and tree-ring dating of timbers is employed. However, for many vernacular buildings, difficulties in dating may arise where documentary evidence has not survived, or may have never existed, where tree-ring dates are not available (such as the replacement of original structural timbers, insufficient number of rings, etc.), and where there is an absence of diagnostic architectural features. In these circumstances the margin of uncertainty in dating may increase by at least several decades, depending on the nature of the available building evidence. This paper discusses the potential of a scientific dating method, luminescence dating, that provides a means of determining the date of manufacture of fired clay brick. Although the luminescence method has become well established in the field of archaeology, it has had limited application to building history. This paper provides a brief introduction to the application of the method and its potential for further development in historic buildings analysis, drawing upon the results of a recent test programme of dating brick from late-medieval and post-medieval English buildings

Non-renewable Resource Prices: Structural Breaks and Long Term Trends

In this paper we examine the time series properties of nine non-renewable resources. In particular we are concerned with understanding the relationship between the number of structural breaks in the data and the nature of the resource price path, i.e. is it stationary or a random walk. To undertake our analysis we employ a number of relevant econometric methods including Bai and Perron's (1998) multiple structural break dating method. Our results indicate that these series are in many cases stationary and subject to a number of structural breaks. These results indicate that a deterministic model of resources prices may well be appropriate.structural change, non-renewable resources, breaks, resource depletion

Revolutionary change and structural breaks: A time series analysis of wages and commodity prices in Britain 1264-1913

In this paper we empirically test the hypothesis that economic revolutions are associated with structural breaks in historical economic data. A simple test for structural breaks in economic time series is applied to British wage and price data from the medieval to the modern period. Evidence for structural change is found in nearly half of the series studied -- suggesting that structural breaks are an intrinsic feature of such historic data. Structural changes are most closely linked to the Commercial Revolution followed by the Agricultural Revolution and the Industrial Revolution, with changes linked to an underlying process of price stabilisation as measured by a decrease in the long-term level of volatility.historical economics; economic revolutions; structural breaks; price stabilisation

Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500

Published in International Economic Review, https://doi.org/10.1111/iere.12132</p

Native advertising : attitudes, value and purchase intention

textNative-form advertising in the digital space can most easily be defined as promotional content constructed to mimic the form and structure of the website that it is embedded on. With the rise of user generated content and social media, digital native advertising is fast becoming a popular promotional tactic for brands looking to engage with an online audience. This study examines whether this form of advertising significantly impacts consumer attitudes towards the ad, value of the ad and purchase intention of the promoted product across three product categories. Although not significant, results suggest that native advertising positively impacts entertainment- and lifestyle-based products, while information-based service industries, including cyber security, saw a negative reaction from respondents. That said, product category did influence attitude toward the ad and ad value regardless of the ad type. Moreover, a strong positive correlation between product involvement and purchase intention was found, indicating the need to target specific audiences with online native advertising.Advertisin

Are the Effects of Monetary Policy Asymmetric?

This paper focuses on whether monetary policy has asymmetric effects. By building on the Markov switching model introduced by Hamilton (1989), we examine questions like: Does monetary policy have the same effect regardless of the current phase of economic fluctuations? Given that the economy is currently in a recession, does a fall in interest rates increase the probability of an expansion? Does monetary policy have an incremental effect on the growth rate within a given state, or does it only affect the economy if it is sufficiently strong to induce a state change (e.g., from recession to expansion)? We find economically and statistically significant evidence of asymmetry. As suggested by models with sticky prices or finance constraints, interest rate changes have larger effects during recessions. Interest rates also have substantial effects on the probability of a state switch. Le présent article étudie si la politique monétaire a des effets asymétriques. En développant le modèle à changements de régime markoviens introduit par Hamilton (1989), nous examinons des questions du genre : La politique monétaire a-t-elle les mêmes effets selon les différentes phases du cycle économique ? Étant donné que l'économie est actuellement en récession, une baisse des taux d'intérêt accroît-elle la probabilité d'une expansion ? La politique monétaire a-t-elle un effet sur le taux de croissance de l'économie au sein d'une phase donnée, ou n'affecte-t-elle l'économie que si elle est suffisamment soutenue pour entraîner un changement de phase (p. ex. d'une récession à une expansion) ? Nous trouvons des effets asymétriques importants économiquement et statistiquement significatifs. Comme le suggèrent les modèles supposant un ajustement lent des prix ou l'existence de contraintes financières, les changements de taux d'intérêt ont des effets plus importants durant les récessions. Les taux d'intérêt ont également des effets substantiels sur la probabilité d'un changement d'état de l'économie.Monetary policy; Markov switching model; Interest rates, Politique monétaire ; Modèle à changements de régime markoviens ; Taux d'intérêt

Modelling Italian potential output and the output gap

The aim of the paper is to estimate a reliable quarterly time-series of potential output for the Italian economy, exploiting four alternative approaches: a Bayesian unobserved component method, a univariate time-varying autoregressive model, a production function approach and a structural VAR. Based on a wide range of evaluation criteria, all methods generate output gaps that accurately describe the Italian business cycle over the past three decades. All output gap measures are subject to non-negligible revisions when new data become available. Nonetheless they still prove to be informative about the current cyclical phase and, unlike the evidence reported in most of the literature, helpful at predicting inflation compared with simple benchmarks. We assess also the performance of output gap estimates obtained by combining the four original indicators, using either equal weights or Bayesian averaging, showing that the resulting measures (i) are less sensitive to revisions; (ii) are at least as good as the originals at tracking business cycle fluctuations; (iii) are more accurate as inflation predictors.potential output, business cycle, Phillips curve, output gap