|
|
|
|
||||
|
||||
A Method for Detecting Structural Breaks and an Application to the Turkish Stock MarketErdem BasciBilkent University - Department of Economics Sidika BasciESTIM Forecasting Center Asad ZamanInternational Institute of Islamic Economics 2000 METU Studies in Development, Vol. 27, No. 1-2, pp. 35-45, 2000 Abstract: We suggest a procedure for model update, based on detection of structural breaks at unknown change-points. The procedure makes use of the SupF test introduced by Andrews (1993). We apply this procedure for modelling the common stock index returns in the Istanbul Stock Exchange for the 11 year period of 1989 - 1999. The underlying model consists simply of a mean plus noise, with occasional jumps in the level of mean at unknown time instances. The problem is the detection of this jump and the corresponding model update. We find critical values for the SupF test statistic by using the Bootstrap method. A trading rule that uses the forecasts from the suggested procedure is observed to outperform the buy-and-hold strategy.
Number of Pages in PDF File: 10 Keywords: structural change, sup F test, rolling Chow test, Bootstrap JEL Classification: C12, C22, C52 Accepted Paper SeriesDate posted: January 31, 2009Suggested CitationContact Information
|
|
||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo6 in 0.656 seconds
