Cataloged from PDF version of article.In this thesis, performance of the single structural break tests is examined. Since
it has proved superiority of Sequential F test on other single break tests, it is chosen as
single break test. Monte Carlo simulation is run for different scenarios and performances
of the test with respect to estimating break points, and parameters, and rejecting or
accepting the joint null hypothesis is observed. For all cases small sample bias is
observed. The test estimates parameters correctly for large samples but for small
samples it underestimates or overestimates parameters. Another common problem is
about joint null hypothesis. When test rejects the joint null, it doesn’t identify which of
the joint hypothesis is rejected. Therefore in this study, we utilize the t-statistic of the
parameters to determine the individual hypothesis rejected. In addition to these common
problems we illustrate other scenario specific problems in this study. We examine the
implications of our Monte Carlo findings by applying the break test to real life data and
investigate the efficient market hypothesis using stock market data on SP&500.
Application of the sequential F test shows evidence against the efficient market
hypothesis.Yıldız, İzzetM.S
