SHAZAM Community
Ask Your Question

Revision history [back]

click to hide/show revision 1
initial version

Chow-test and multi-significant breakpoints

Hi all, Background: In connection to time series analysis you often experience that the series has been exposed to structural changes and potentially can have at least one breakpoint. Let’s say you estimate a parsimonious model and evaluate potential breaks by using Shazam’s sequential Chow-test option under Diagnose. Let’s say the output shows multiple significant breakpoints, i.e. with p-values less than 0.05. Question: How do we interpret the result when we have multiple significant breakpoints? I have attached an output which illustrates the “problem”. The output indicates multiple significant breakpoints, for example about N1 = 38, N2 = 38, about N1 = 50 N2 = 24, and about N1 = 62 , N2 = 14. I hope Shazam staff or other in the field can comment the “case” (please, see attached file).

Chow-test and multi-significant breakpoints

CHOW.xlsHi all, Background: In connection to time series analysis you often experience that the series has been exposed to structural changes and potentially can have at least one breakpoint. Let’s say you estimate a parsimonious model and evaluate potential breaks by using Shazam’s sequential Chow-test option under Diagnose. Let’s say the output shows multiple significant breakpoints, i.e. with p-values less than 0.05. Question: How do we interpret the result when we have multiple significant breakpoints? I have attached an output which illustrates the “problem”. The output indicates multiple significant breakpoints, for example about N1 = 38, N2 = 38, about N1 = 50 N2 = 24, and about N1 = 62 , N2 = 14. I hope Shazam staff or other in the field can comment the “case” (please, see attached file).

Chow-test and multi-significant breakpoints

CHOW.xlsCHOW.xlsHi all, Background: In connection to time series analysis you often experience that the series has been exposed to structural changes and potentially can have at least one breakpoint. Let’s say you estimate a parsimonious model and evaluate potential breaks by using Shazam’s sequential Chow-test option under Diagnose. Let’s say the output shows multiple significant breakpoints, i.e. with p-values less than 0.05. Question: How do we interpret the result when we have multiple significant breakpoints? I have attached an output which illustrates the “problem”. The output indicates multiple significant breakpoints, for example about N1 = 38, N2 = 38, about N1 = 50 N2 = 24, and about N1 = 62 , N2 = 14. I hope Shazam staff or other in the field can comment the “case” (please, see attached file).

Chow-test and multi-significant breakpoints

CHOW.xlsCHOW.xlsHi all, Background: In connection to time series analysis you often experience that the series has been exposed to structural changes and potentially can have at least one breakpoint. Let’s say you estimate a parsimonious model and evaluate potential breaks by using Shazam’s sequential Chow-test option under Diagnose. Let’s say the output shows multiple significant breakpoints, i.e. with p-values less than 0.05. Question: How do we interpret the result when we have multiple significant breakpoints? I have attached an output which illustrates the “problem”. The output indicates multiple significant breakpoints, for example about N1 = 38, N2 = 38, about N1 = 50 N2 = 24, and about N1 = 62 , N2 = 14. I hope Shazam staff or other in the field can comment the “case” (please, see attached file).

Chow-test and multi-significant breakpoints

CHOW.xlsHi all, Background: In connection to time series analysis you often experience that the series has been exposed to structural changes and potentially can have at least one breakpoint. Let’s say you estimate a parsimonious model and evaluate potential breaks by using Shazam’s sequential Chow-test option under Diagnose. Let’s say the output shows multiple significant breakpoints, i.e. with p-values less than 0.05. Question: How do we interpret the result when we have multiple significant breakpoints? I have attached an output which illustrates the “problem”. “problem” (This is an output from an AR(1)-model). The output indicates multiple significant breakpoints, for example about N1 = 38, N2 = 38, about N1 = 50 N2 = 24, and about N1 = 62 , N2 = 14. I hope Shazam staff or other in the field can comment the “case” (please, see attached file).