Structural break analysis using time series methods

Shinoj, P (2023) Structural break analysis using time series methods. In: Training Manual on Advanced Analytical Tools for Social Science Research Vol.2. CMFRI Training Manual Series No. 29/2023 . ICAR- Central Marine Fisheries Research Institute, Kochi, pp. 52-56.

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Abstract

Structural break analysis is helpful in revealing the broad pattern of growth, by identifying any break points or secular acceleration/deceleration that could have been present in time series data of economic variables due to abrupt changes in technology or policies. There are a number of alternative methodologies available in the time series literature to determine structural breaks in longitudinal data. The conventional approach is to apply a ‘chow test’ for a statistically significant difference in the parameters of linear time series regression fitted across two periods segmented based on an exogenously identified break date. However, in this procedure, the researcher has to choose an arbitrary break date based on prior information about the timing of significant changes. Such a method suffers from the problem of relying too much on the subjective judgment of the researcher for identifying the timing of the break and its underlying causes

Item Type:	Book Section
Uncontrolled Keywords:	Time series method
Subjects:	Statistical Designs
Divisions:	CMFRI-Kochi > Marine Capture > Fishery Resources Assessment, Economics and Extension Division Subject Area > CMFRI > CMFRI-Kochi > Marine Capture > Fishery Resources Assessment, Economics and Extension Division CMFRI-Kochi > Marine Capture > Fishery Resources Assessment, Economics and Extension Division Subject Area > CMFRI-Kochi > Marine Capture > Fishery Resources Assessment, Economics and Extension Division
Depositing User:	Arun Surendran
Date Deposited:	28 Jun 2023 11:53
Last Modified:	30 Jun 2023 07:16
URI:	http://eprints.cmfri.org.in/id/eprint/17200

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