Abstract

http://ssrn.com/abstract=1305252
 


 



Testing for Structural Breaks: Trade-Off between Power and Spurious Effects


Paolo Angelini


Bank of Italy

1994

Journal of Monetary Economics, Vol. 34, pp. 561-566, 1994

Abstract:     
I argue that in order to test for the effect of the foundation of the Federal Reserve on the behavior of short-term interest rates, extending the sample size on either side of the interval 190%1918 will generate spurious results. Mankiw, Miron, and Weil (1987, 1994) do not address data problems pointed out by other authors, nor do they take into account some historical events and institutional changes in the New York money market that had an impact on the behavior of short-term interest rates. Given these reasons for restricting the sample size, I argue that their Monte Carlo evidence is largely irrelevant to the issue, and that lack of power confirms my claim that no regime change can be detected astride the foundation of the Fed.

Keywords: Short-term interest rates, Term structure, Federal Reserve

JEL Classification: E43

Accepted Paper Series


Not Available For Download

Date posted: November 24, 2008  

Suggested Citation

Angelini, Paolo, Testing for Structural Breaks: Trade-Off between Power and Spurious Effects (1994). Journal of Monetary Economics, Vol. 34, pp. 561-566, 1994. Available at SSRN: http://ssrn.com/abstract=1305252

Contact Information

Paolo Angelini (Contact Author)
Bank of Italy ( email )
Via Nazionale 91
Rome, 00184
Italy
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