Common change-points in long-term UK bond yields, 1870--1914: a piecewise linear trends approach
This article estimates common structural breaks among four long-term UK bond yields, which shared a V-shaped trending behaviour during the sample period of 1870 to 1914. By applying the new inference procedure proposed by Qu and Perron (2007) for structural breaks in multivariate regressions, we find that the four bond yields had six common change-points and that the estimated common piecewise linear trend well represents their long-run movements.
Year of publication: |
2013
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Authors: | Yoon, Gawon |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 20.2013, 13, p. 1254-1258
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Publisher: |
Taylor & Francis Journals |
Saved in:
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