Mistakes in the real-time identification of breaks
We study the mistakes that happen in the real-time identification of structural breaks in the selected aggregate-level of the U.S. financial data series. We are interested in the real time identification because of its relevance for forecasting. The level of noisiness of different data sets and tech...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
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Faculty of Economics and Management, Universiti Putra Malaysia
2017
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| Online Access: | http://psasir.upm.edu.my/id/eprint/58705/1/8-nur_syazwani.pdf.pdf |
| _version_ | 1825931862431760384 |
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| author | Mazlan, Nur Syazwani Bulkley, George |
| author_facet | Mazlan, Nur Syazwani Bulkley, George |
| author_sort | Mazlan, Nur Syazwani |
| collection | UPM |
| description | We study the mistakes that happen in the real-time identification of structural breaks in the selected aggregate-level of the U.S. financial data series. We are interested in the real time identification because of its relevance for forecasting. The level of noisiness of different data sets and techniques used for the identification of breaks affect the frequency of mistakes encountered in real time. We find that mistakes in not finding the true breaks and/or finding the wrong ones in real time are made more frequently in the case of a noisier financial data set. Moreover, the techniques for optimal break detection based on sequential learning of the Bai and Perron (2003) are found to make fewer mistakes than those based on Information Criteria (IC). |
| first_indexed | 2024-03-06T09:33:10Z |
| format | Conference or Workshop Item |
| id | upm.eprints-58705 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:33:10Z |
| publishDate | 2017 |
| publisher | Faculty of Economics and Management, Universiti Putra Malaysia |
| record_format | dspace |
| spelling | upm.eprints-587052018-01-29T10:11:42Z http://psasir.upm.edu.my/id/eprint/58705/ Mistakes in the real-time identification of breaks Mazlan, Nur Syazwani Bulkley, George We study the mistakes that happen in the real-time identification of structural breaks in the selected aggregate-level of the U.S. financial data series. We are interested in the real time identification because of its relevance for forecasting. The level of noisiness of different data sets and techniques used for the identification of breaks affect the frequency of mistakes encountered in real time. We find that mistakes in not finding the true breaks and/or finding the wrong ones in real time are made more frequently in the case of a noisier financial data set. Moreover, the techniques for optimal break detection based on sequential learning of the Bai and Perron (2003) are found to make fewer mistakes than those based on Information Criteria (IC). Faculty of Economics and Management, Universiti Putra Malaysia 2017 Conference or Workshop Item PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/58705/1/8-nur_syazwani.pdf.pdf Mazlan, Nur Syazwani and Bulkley, George (2017) Mistakes in the real-time identification of breaks. In: Global Conference on Business and Economics Research (GCBER) 2017, 14-15 Aug. 2017, Universiti Putra Malaysia, Serdang, Selangor. (pp. 189-196). http://www.econ.upm.edu.my/upload/dokumen/20170816181502024-nur_syazwani.pdf.pdf |
| spellingShingle | Mazlan, Nur Syazwani Bulkley, George Mistakes in the real-time identification of breaks |
| title | Mistakes in the real-time identification of breaks |
| title_full | Mistakes in the real-time identification of breaks |
| title_fullStr | Mistakes in the real-time identification of breaks |
| title_full_unstemmed | Mistakes in the real-time identification of breaks |
| title_short | Mistakes in the real-time identification of breaks |
| title_sort | mistakes in the real time identification of breaks |
| url | http://psasir.upm.edu.my/id/eprint/58705/1/8-nur_syazwani.pdf.pdf |
| work_keys_str_mv | AT mazlannursyazwani mistakesintherealtimeidentificationofbreaks AT bulkleygeorge mistakesintherealtimeidentificationofbreaks |