In this paper we propose a non parametric approach for detecting multiple structural break occurring at unknown dates. The method exploits, in the framework of least squares regression trees, the contiguity property introduced by Fisher for grouping a single real variable. The proposed approach called ART is applied to the structural breaks analysis of the U.S. Ex-Post Real Interest Rate series.
Dating Multiple Structural breaks in the US Ex-Post Real Interest Rate / Cappelli, Carmela; M., Reale. - STAMPA. - (2005), pp. 479-484. (Intervento presentato al convegno S.Co. 2005 tenutosi a Bressanone nel 15-17 settembre 2005).
Dating Multiple Structural breaks in the US Ex-Post Real Interest Rate
CAPPELLI, CARMELA;
2005
Abstract
In this paper we propose a non parametric approach for detecting multiple structural break occurring at unknown dates. The method exploits, in the framework of least squares regression trees, the contiguity property introduced by Fisher for grouping a single real variable. The proposed approach called ART is applied to the structural breaks analysis of the U.S. Ex-Post Real Interest Rate series.File in questo prodotto:
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