One-Sided Test for an Unknown Breakpoint : Theory, Computation, and Application to Monetary Theory

The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup t statistic, which is distributed as a normalized Brownian bridge. The method is illustrated by testing whether the reaction of monetary policy to inflation has increased since 1959

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Year of publication:	[2005]
Authors:	Estrella, Arturo
Other Persons:	Rodrigues, Anthony P. (contributor)
Publisher:	[2005]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2005 erstellt
Other identifiers:	10.2139/ssrn.860566 [DOI]
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012735881