This paper presents a new method to correct for measurement error in wage data and applies this method to address an old question. How much downward wage flexibility is there in the U.S? We apply standard methods developed by Bai and Perron (1998b) to identify structural breaks in time series data. Applying these methods to wage histories allows us to identify when each person experienced a cha...

In a recent paper, Bai and Perron(1998) present a comprehensive treatment of issues related to the estimation of linear models with multiple structural changes. They consider the properties of the estimators, including the estimates of the break dates, and the construction of the tests that allow inference to be made about the presence of structural change and the number of breaks. Following th...

Purpose The purpose of this stud is to analyze the financialization effect on oil prices. Design/methodology/approach This study applied technique multibreak point analysis with Bai and Perron test plus VAR methodology. Findings revealed that there was no Originality/value To best author’s knowledge, first paper combining multibreakpoint for period analyzed in present work.

We consider model selection facing uncertainty over the choice of variables and the occurrence and timing of multiple location shifts. General-to-simple selection is extended by adding an impulse indicator for every observation to the set of candidate regressors: see Johansen and Nielsen (2009). We apply that approach to a fat-tailed distribution, and to processes with breaks: Monte Carlo exper...

This paper challenges the commonly used unit root/cointegration approach for testing the Fisher effect for the economies of the G7 countries. We first prove that nominal interest and inflation rate can be better represented as being broken trend stationary variables. Later, we use the Bai-Perron procedure to show the existence of structural changes in the Fisher equation. When these characteris...

In February 1998, Osama Bin Laden published a signed statement calling for a fatwa against the United States for its having “declared war against God.” As we now know, the fatwa resulted in the unprecedented attack of 9/11. The issue of whether or not 9/11 was in any way predictable culminated in the public debate between Richard Clarke, former CIA Director George Tenet and the White House. We ...

Abstract This paper attempts to re-investigate the catching-up (stochastic convergence) hypothesis among the selected 16 OECD countries applying the time series approach of convergence hypothesis with annual data over one century. To reach this aim, we propose a model which specifies a trend function, incorporating both types of structural breaks – that is, sharp breaks and smooth shifts usin...

This paper employs a dynamic herding approach that takes under different market regimes into account. We use daily data on US stock returns for the S&P 500 ranging from 2006 to 2017. The results of linear model yield no evidence herding. However, findings switching regression Bai and Perron (1998) demonstrate during crisis 500. alternative Markov also supports these findings.