Algunos métodos para modelar tendencias y su aplicación a las series de empleo sectorial en Puerto Rico

Toledo, Wilfredo (2010): Algunos métodos para modelar tendencias y su aplicación a las series de empleo sectorial en Puerto Rico.

Abstract

Abstracts: This paper considers the principal approaches used for modelling trends in economic time series. Deterministic, stochastic, and segmented trends models with dates of break determined endogenously are considered. Also, a review of Quandt/Andrews/Bain method to identify structural changes and construct confidence intervals for the break dates is presented. These techniques are applied to Puerto Rico sectoral employment series.

• Item Type: MPRA Paper
• English Title: Different Techniques of Modelling Trend and its applications to Puerto Rico Sectoral Employment Series
• Language: Spanish
• Keywords: Palabras Clave: Modelos de tendencia, filtro Hodrick-Prescott, descomposición Beveridge-Nelson, cambios estructurales con fechas endógenas, intervalos de confianza para fechas de cambios estructurales. Key Words: Modelling trends, structural break and confidence intervals, Hodrick-Prescott Filter, Beveridge-Nelson Decomposition.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles

References

Andrews, Donald W.K. (1993). Test for Parameter Instability and Structural Change wth Unkown Change Point” Econometrica 61(4) 821:56.

Bai, Jushan. 1997.”Estimation of a Change Point in Multiple Regression Models”. Review of Economics and Statistics. November, 79:4: 551-63.

Bai, Jushan. 1997. “Estimating Multiple Breaks Once at a Time”. Econometric Theory. June 13:3: 315-52.

Bai, Jushan. 1997b. "Estimating Multiple One at a Time." Econometric Theory. June, 13:3: 315-52.

Bai, Jushan and Pierre Perron. 1998. "Estimat¬ing and Testing Linear Models with Multiple Structural Changes." Econometrica. January, 66:1, pp. 47-78.

Bai, Jushan, Robin L. Lumsdaine and James H. Stock. 1998. "Testing for and Dating Com¬mon Breaks in Muldvariate Time Series." Review of Economic Studies. July, 64:3: 395-432.

Banerjee, Anindya, Robin L. Lumsdaine and James H. Stock. 1992. "Recursive and Sequential Tests of the Unit-Roots and Trend-Break Hypoth¬eses: Theory and International Evidence." Jour¬nal of Business and Economic Statistics. July, 10:3: 271-87.

Ben-David, Dan and David H. PapelL 1998. "Slowdowns and Meltdowns: Postwar Growth Ev¬idence from 74 Countries." Review of Economics and Statistics. November, 80:4: 561-71.

Beveridge, S. y C.R. Nelson (1981) “A New approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle” Journal of Monetary Economics 7, 151-174.

Bosworth, B. P. y S.M. Collins (2006). “Economic Growth” en The Economy of Puerto Rico, editado por Susan M. Collins, Barry P. Bosworth y Miguel A. Soto-Class: 17-81.

Chong, Terence Tai-leung. 1995. "Partial Pa-rameter Consistency in a Misspecified Structural Change Model." Economics Letters. October, 49:4, pp. 351-57.

Chow, Gregory C. 1960. "Tests of Equality Between Sets of Coefficients in Two Linear Re¬gressions." Econometrica. 28:3, pp. 591-605.

Christiano, Lawrence J. 1992. "Searching for a Break in GNP." Journal of Business and Economic Statistics. July, 10:3, pp. 237-50.

Dickey, David A. and Wayne A. Fuller. 1979. "Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association. June, 74:366, pp. 427-31.

Dickey, David A. and Wayne A. Fuller. 1981”Likelihood Ratio Statistics for Autoregressive Time Series With Unit Root”, Econometrica,49, 1057-1072.

Elliott, Graham, Thomas J. Rothenberg and James H. Stock. 1996. "Efficient Tests for an Autoregressive Unit Root." Econometrica. July, 64:4, pp. 813-36.

Fernandez, David G. 1997. "Breaking Trends and the Money-Output Correlation." Review of Economics and Statistics. November, 79:4, pp. 674-79.

Hansen, Bruce E. (2001), “The New Econometrics of Structural Change: Dating Breaks in US Labor Productivity, Journal of Economic Perspectives, 15(4):117-128.

Hodrick, R.J. y E,C. Prescott (1995) “Postwar Us Business Cycles: an empirical investigation “ Journal of Money Credit and Banking and Banking 29, 1-16.

Judge, G.G., W.E. Griffiths, R. Carter Hill, Helmut Lütkepohl y Tsoung-Chao Lee, (1985). The Theory and Prcatice of Econometrics, segunda edición, (Willey).

Mills, T. C. (2003) Modelling Trends and Cycles in Economic Time Series, Palgrave Texts in Econometrics.

Quandt R. (1960) “Test of the Hypothesis that a Linear Regression Obeys Two Separate Regimes”. Journal of the American Statistical Association. 55 324-30.