wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence

The aim of the paper is to consider the problem of selecting the number of breaks in the mean of a time series. Indeed, we prove analytically and show by a Monte Carlo study that some model selection criteria will tend to choose a spuriously high number of structural breaks when the process is trend-stationary without changes. The important question suggested by our results is that of distinction between trend-stationary process and random walk when modelling real data series.Model selection

A METHODOLOGY FOR DETECTING BREAKS IN THE MEAN AND COVARIANCE STRUCTURE OF TIME SERIES

Some structural break techniques defined in the time and frequency domains are presented to explore, at the same time, the empirical evidence of the mean and covariance instability by uncovering regime-shifts in some inflation series. To that effect, we pursue a methodology that combines two approaches; the first is defined in the time domain and is designed to detect mean-shifts, and the second is defined in the frequency domain and is adopted to study the instability problem of the covariance function of the series. The proposed methodology has a double interest since, besides the detection of regime-shifts occasioned in the covariance structure of the series, it allows taking into account the presence of mean-shifts in this series. Note that unlike the works existing in the literature which often adopt a single technique to study the break identification problem, our methodology combines two approaches, parametric and nonparametric, to examine this problem.Structural change, mean and variance shifts, parametric and nonparametric approaches.

Bootstrap Tests in Bivariate VAR Process with Single Structural Change : Power versus Corrected Size and Empirical Illustration

This paper evaluates the finite-sample performance of single structural change tests based onthe asymptotic distribution and bootstrap procedures. In addition to the conventional case of stationaryregressors, we consider nonstationary regressors and others characterized by the presence of a break intheir structure. While our paper borrows the idea of assessing the performance of structural break testsfrom an other paper, ours is the first to examine and compare the power of such tests on the basis ofcorrected size by using graphical methods. We endeavour to see whether some conclusions, obtainedfor some tests, remain again valid for others based on an other type of processes. Some bootstrapprocedures quasi-perfectly correct the size distortions of their asymptotic counterparts and have thesame power performance as them on the corrected size basis; property often difficult to obtain. We finally propose a modelling strategy to study the relationship between U.S. interest rates. The results show that such relationship has been altered by a regime-shift located at the beginning of the 1980s.Break date, Bootstrap techniques, Graphical methods, Selection procedures

Structural Breaks in the Mexico's Integration into the World Stock Market

This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally, we relate the obtained results to important facts and economic events

The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.Shift-contagion; time-varying correlation; sequential selection procedure

The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron's (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.sequential selection procedure ; shift-contagion ; time-varying correlation

The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

In this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perrons (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand.Shift-contagion, Time-varying correlation, Sequential selection procedure

The Asian Crisis Contagion: A Dynamic Correlation <br />Approach Analysis

International audienceIn this paper we are testing for contagion caused by the Thai baht collapse of July 1997. In line with earlier work, shift-contagion is defined as a structural change within the international propagation mechanisms of financial shocks. We adopt Bai and Perron's (1998) structural break approach in order to detect the endogenous break points of the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach enables us to solve the misspecification problem of the crisis window. Our results illustrate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand

The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis

Working Paper GATE 2007-25In this paper, we are interested in testing for contagion caused by the Thai bath collapse in July 1997. In line with earlier work, shift-contagion is defined as a structural change in the international propagation mechanisms of financial shocks. We adopt the Bai and Perron's (1998) structural break approach to detect the endogenous break points in the pair-wise time-varying correlations between Thailand and seven Asian stock market returns. Our approach allows solving the misspecification problem of crisis window. Our results indicate the existence of shift-contagion in the Asian crisis caused by the crisis in Thailand

Structural Breaks in the Mexico's Integration into the World Stock Market

This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally, we relate the obtained results to important facts and economic event