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Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector

Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector AbstractMilton Friedman and Anna Schwartz constructed an important macroeconomic dataset for the United Kingdom that spans 1878–1970. Numerous authors have modeled the demand for broad money on that dataset. Model selection is central to assessing the merits of the resulting empirical models, so the current paper re-evaluates that issue with computer-automated model selection. Some models are robust to the model selection path, as characterized through variations in target size, pre-search testing, fixity of regressors, impulse indicator saturation, representation of the general model, and choice of dependent variable. Model improvement is also feasible, with historically interpretable nonlinearities and structural breaks. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector

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Publisher
de Gruyter
Copyright
©2016 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1558-3708
eISSN
1558-3708
DOI
10.1515/snde-2015-0104
Publisher site
See Article on Publisher Site

Abstract

AbstractMilton Friedman and Anna Schwartz constructed an important macroeconomic dataset for the United Kingdom that spans 1878–1970. Numerous authors have modeled the demand for broad money on that dataset. Model selection is central to assessing the merits of the resulting empirical models, so the current paper re-evaluates that issue with computer-automated model selection. Some models are robust to the model selection path, as characterized through variations in target size, pre-search testing, fixity of regressors, impulse indicator saturation, representation of the general model, and choice of dependent variable. Model improvement is also feasible, with historically interpretable nonlinearities and structural breaks.

Journal

Studies in Nonlinear Dynamics & Econometrics – de Gruyter

Published: Sep 1, 2016

References

  • Truth and Robustness in Cross-country Growth Regressions