Thesis advisor: Zhijie Xiao / This dissertation contains three chapters in theoretical Macroeconometrics and applied Macroeconometrics. This first chapter addresses the issues related to the estimation, testing and computation of ordered structural breaks in multivariate linear regressions. Unlike common breaks, ordered structural breaks are those breaks that are related across equations but not necessarily occurring at the same dates. A likelihood ratio test assuming normal errors is proposed in this chapter in order to detect the ordered structural breaks in multivariate linear regressions. The estimation of ordered structural breaks uses quasi-maximum likelihood and adopts the efficient algorithm of Bai and Perron (2003). I also provide results about the consistency and rate of convergence when searching for ordered structural breaks. Finally, these methods are applied to one empirical example: the mean growth rate of output in three European countries and United States. This second chapter focuses on the parameter stability of dynamic stochastic general equilibrium (DSGE) models. To this end, I solve and estimate a representative New Keynesian model using both linear and nonlinear methods. I first examine how nonlinearities affect the parameter stability of the New Keynesian model. The results show that parameter instabilities still exist even using nonlinear solutions, and also highlight differences between two nonlinear solution methods: perturbation method and projection method. In addition, I propose a sequential procedure for searching for multiple structural breaks in nonlinear models, and apply it to the New Keynesian model. Two common structural breaks among these estimated parameters are identified for all the five solutions considered in this chapter. One structural break is in the early 1970s, while another one locates around the middle 1990s. In the third chapter, we investigate changes in long run productivity growth in the United States. In particular, we approach productivity growth from a sectoral perspective, and decompose the whole economy into two broad sectors: investment goods-producing sector and consumption goods-producing sector. Although the evidence of changes in the aggregate productivity growth is far from obvious at conventional test size, we find evidence of structural breaks in the sectoral productivity growth using both growth accounting and DSGE model based measures. There are two structural breaks in investment goods-producing sector using growth accounting measures, which indicates that the era of investment and productivity boom in the middle 1990s may have ended before the Great Recession. In addition, our results show there is one structural break in consumption goods-producing sector around the 1970s and attribute the aggregate productivity slowdown at that time to consumption goods-producing sector. These results are broadly consistent with Ireland and Schuh (2008). Our results offer up with a modestly pessimistic outlook on future productivity growth and, therefore, potential output. / Thesis (PhD) — Boston College, 2013. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

In this paper, we use the Bai and Perron (1988, 2003) methodology to test for multiple structural breaks in the real exchange rate for 8 countries within Asia Pacific. We find extensive evidence of structural breaks in the real exchange rates. The Bai and Perron (1998, 2003) consider the estimation of multiple structural shifts in a linear model estimated by least-squares. They propose some tests for structural changes for the case with no trending regressors and a selection procedure based on a sequence of tests to estimate consistently the number of changes and break date. Also this paper apply Elliott and Müller (2003) method in order to test for stability of the estimated regression parameters with structural breaks. When comparing two test results, we find that the test conclusions is with little difference . Within those 8 countries including Japan, Singapore, Thailand, Indonesia, Korea, Malaysia, Philippines, Taiwan , The processing result with Bai and Perron test with structural breaks, we find that real exchange rates of 4 countries have three structural breaks, 2 countries have two structural breaks, and other two countries has one structural break. Also we apply Elliott and Müller test , the result we got is that has a structural break of real exchange rate exist within 7 countries. Only one country has no structural break. According to the results which we applied those tests, There do exist some structural break under the impacts of some financial crisis and important events which , such as The Second Oil Chsis ( 1979), Plaza Accord (1985), Asia Financial Crisis (1997).

Yes / This paper makes use of a leading UK supermarket’s loyalty card based data which records information on purchase decisions by consumers who shop at its stores in order to assess the effectiveness and impact of the UK reduced salt campaign. We present an empirical analysis of consumption data to assess the effectiveness of the UK Food Standard Agency’s (FSA) ‘reduced salt campaign’ on the basis of information on health related announcements undertaken by the FSA under its ‘low salt campaign’. We adopt a general approach to determining structural breaks in consumption data, including making use of minimum LM unit root tests whereby structural breaks are endogenously determined from the data. We find evidence supporting the effectiveness of the FSA’s reduced salt campaign.

The purpose of this thesis is to investigate the financial volatility dynamics through the GARCH modelling framework. We use univariate and multivariate GARCH-type models enriched with long memory, asymmetries and power transformations. We study the financial time series volatility and co-volatility taking into account the structural breaks detected and focusing on the effects of the corresponding financial crisis events. We conclude to provide a complete framework for the analysis of volatility with major policy implications and benefits for the current risk management practices. We first investigate the volume-volatility link for different investor categories and orders, around the Asian crisis applying a univariate dual long memory model. Our analysis suggests that the behaviour of volatility depends upon volume, but also that the nature of this dependence varies with time and the source of volume. We further apply the vector AR-DCC-FIAPARCH and the UEDCC-AGARCH models to several stock indices daily returns, taking into account the structural breaks of the time series linked to major economic events including crisis shocks We find significant cross effects, time-varying shock and volatility spillovers, time-varying persistence in the conditional variances, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks and the power of returns that best fits the volatility pattern. We observe higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets, a continuous herding investors’ behaviour, as the in-crisis correlations remain high, and a higher level of correlations during the recent financial crisis than during the Asian. Finally, we study the High-frEquency-bAsed VolatilitY (HEAVY) models that combine daily returns with realised volatility. We enrich the HEAVY equations through the HYAPARCH formulation to propose the HYDAP-HEAVY (HYperbolic Double Asymmetric Power) and provide a complete framework to analyse the volatility process.

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Since the Bretton Woods System collapsed, the volatility of the exchange rate return has been an important and concerned issue in financial domain. The purpose of this paper is to investigate the empirical relevance of stricture breaks for the volatility of the exchange rate return, and we use both in-sample and out-of-sample tests. GARCH(1,1) Model is considered to be the representative quantitative method for analyzing the volatility of asset returns, as a result, we picked GARCH(1,1) as natural benchmarks in this article. In addition, we cogitated the structure breaks in this paper, and used ICSS(Iterated Cumulative Sums of Squares) algorithm to test the points of structural breaks. The results of empirical analysis show that there are significant evidences of structural breaks in the unconditional variance for six of eight US exchange rate return series, which implying unstable GARCH processes for these exchange rates. We also find those competing models that accommodating structural breaks will have higher predictive ability. Pooling forecasts from different models that allow for structural breaks in volatility appears to offer a reliable method for improving volatility forecast accuracy given the uncertainty surrounding the timing and size of the structural breaks.

This dissertation includes two different empirical models about the economic growth and globalization in developed and developing countries from 1970 to 2008. First, we apply the quantile cointegration model provided by Xiao (2009) to examine the non-linear relationship between economic growth and globalization. Our empirical findings provide not only strong evidence that the cointegrating coefficients follow the time-varying process, but also the viewpoint of a long-run approach that overall globalization and their three dimensions act as engines of economic growth. Second, we adopt an advanced panel cointegration method which incorporates multiple structural breaks to examine the growth-globalization relationship. Differing from the weak outcomes of the traditional panel ointegration test without breaks, our findings provide strong evidence that overall globalization and its social dimension are cointegrated with RGDP both in developed and developing samples, and most of the structural break points are discovered in several main events. In addition, in evaluating whether or not the structural breaks affect the RGDP through globalization, we discover that the globalization have a directly positive impact on RGDP but indirectly exhibit negative (positive) impacts on real output via the channel of globalization in developed (developing) samples. Also, Different countries/groups reflect the different outcomes from the common shock of break event under the process of globalization. For the entire performance, the overall globalization brings the most positive effect on the real output in developed samples, and the social globalization is the main factor of promoting the economic development in developing samples.

In the early years of human society, all natural resources such as agriculture, animals, forestry, and fisheries were considered to be public property and the treasure belonged to all people. One branch of these natural resources threatened by over-development is straddling and highly migratory fish species, like tuna, which cannot be protected by a single government. While discussing fishery management, we review the change in tuna catches of thirteen countries in Western and Central Pacific Fisheries Commission (WCPFC), as it represents the impacts from different policies and events during a specific period of time. We reference the method applied in economics science by testing for the existence of stochastic convergence and addressing these break points, which are the important targets due to external shocks or internal influence. The characteristic of the method is in testing both time series and panel data by following the traditional unit root tests methods and unit root tests while considering structural breaks. We are able to conclude in preliminary estimates that some serious historical fishery events happened at the break point time, and if we take these structural breaks into consideration, then the growth of tuna catches will be stationary. In other words, if shocks to relative tuna catches are temporary, then the series stochastically converges, meaning that the manager does not need to intervene in the development of tuna fishery, because temporary shocks do not affect the stationarity of tuna catches¡¦ levels. Once the structural breaks occurred in the past, it is not necessary for these government and international organizations to change fishery policies in order to respond to the breaks. They should realize the meaning of the stationary panel instead of enacting an over-intervening policy based on temporary shocks.

In the literature, it is a common belief that the U.S. stock market is the single most influential market in the world. The U.S. stock market is a global factor, affecting both developed and emerging markets. This dissertation empirically investigates the interactions between equity markets of the Asian four little dragons (Hong Kong, Korea, Singapore, and Taiwan) and the U.S. equity market. In order to assess correctly the effect of the U.S. stock return rates on emerging equity markets, we incorporate the assumption that returns on the U.S. stock market affect the stock returns on emerging markets but not vice versa. In other words, it is assumed that the U.S. stock exchange performance is not affected by one of the four Asian equity market; however, the latter is affected by both its own dynamics and the U.S. stock exchange. This dissertation consists of three essays. In order to estimate the dynamic impulse responses of the emerging markets¡¦ return rates to random shocks in the U.S. return rates, the first essay uses block exogenous VAR models which suggested in the papers of Zha (1996), Cushman and Zha (1997), and Zha (1999), and it finds that return rates on the U.S. positively affect stock return rates of the four Asian markets. By using the method of Rapach and Wohar (2005a, 2006a), and the second essay also finds that return rates on the U.S. have in-sample and out-of-sample predictive ability for return rates of the respective emerging market. The last essay follows the econometric methodology of Bai and Perron (1998, 2003a, 2003b, and 2004) and it points out that there exists at least one structural change in the predictive regression model of the respective empirical equity market. The results suggest that an emerging equity market¡¦s sensitivity to shocks from the U.S. return rates is related to its degree of openness.

This thesis applies Atheoretical Regression Trees (ART) to the problem of locating changes in mean in a time series where the number and location of those changes are unknown. We undertook an extensive simulation study into ART's performance on a range of time series. We found ART to be a useful addition to currently established structural break methodologies such as the CUSUM and that due to Bai and Perron. ART was found to be useful in the analysis of long time series which are not practical to analyze with the optimal procedure of Bai and Perron. ART was applied to a long standing problem in the analysis of long memory time series. We propose two new methods based on ART for distinguishing between true long memory and spurious long memory due to structural breaks. These methods are fundamentally different from current tests and procedures intended to discriminate between the two sets of competing models. The methods were subjected to a simulation study and shown to be effective in discrimination between simple regime switching models and fractionally integrated processes. We applied the new methods to 16 realized volatility series and concluded they were not fractionally integrated series. All 16 series had mean shifts, some of which could be identified with historical events. We applied the new methods to a range of geophysical time series and concluded they were not fractional Gaussian noises. All of the series examined had mean shifts, some of which could be identified with known climatic changes. We conclude that our new methods are a significant advance in model discrimination in long memory series.