Quotation Huber, Florian, Kastner, Gregor, Feldkircher, Martin. 2017. A New Approach Toward Detecting Structural Breaks in Vector Autoregressive Models.


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Abstract

Incorporating structural changes into time series models is crucial during turbulent economic periods. In this paper, we propose a flexible means of estimating vector autoregressions with time-varying parameters (TVP-VARs) by introducing a threshold process that is driven by the absolute size of parameter changes. This enables us to detect whether a given regression coefficient is constant or time-varying. When applied to a medium-scale macroeconomic US dataset our model yields precise density and turning point predictions, especially during economic downturns, and provides new insights on the changing effects of increases in short-term interest rates over time.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title A New Approach Toward Detecting Structural Breaks in Vector Autoregressive Models
Year 2017
URL https://arxiv.org/abs/1607.04532
JEL C11, C32, C52, E42

Associations

People
Huber, Florian (Former researcher)
Kastner, Gregor (Details)
External
Feldkircher, Martin (Oesterreichische Nationalbank, Austria)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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