Detecting structural breaks in eigensystems of functional time series

Detecting shocks: Outliers and breaks in time series

A single outlier in a regression model can be detected by the effect of its deletion on the residual s irn of squares. An equivalent procedure is the simple intervention in which an extra parameter is added for the mean of the observation in question. Similarly, for unobserved components or structural time-series models, the effect of elaborations of the model on inferences can be investigated ...

Which OIC countries are catching up? Time Series Evidences with Multiple Structural Breaks

Abstract In this paper, income per capita convergence hypothesis is tested in selected OIC countries. For this purpose, we use the time series model and univariate KPSS stationary test with multiple structural breaks (Carrion-i-Silvestre et al. (2005)) over the period 1950-2008. The results show that most OIC countries could not catch up toward USA. Although because of some positive term of tra...

Nonlinearity, Structural Breaks or Outliers in Economic Time Series?

This paper has its motivation from discussions at the E C 2 conference in 1995. y Financial support from the Social Sciences and Humanities Research Council of Canada is gratefully acknowledged , as are helpful discussions with Sid Chib and Les Oxley. z Financial support from the Academic Senate UCLA and Center for Computable Economics, UCLA is gratefully acknowledged. In recent years there has...

State-Space Time Series Modeling of Structural Breaks

Detecting functional relationships between simultaneous time series.

We describe a method to characterize the predictability and functionality between two simultaneously generated time series. This nonlinear method requires minimal assumptions and can be applied to data measured either from coupled systems or from different positions on a spatially extended system. This analysis generates a function statistic, Theta(c(0)), that quantifies the level of predictabi...