Structural breaks and regime switching models: theoretical extensions and applications

ResearchWorks/Manakin Repository

Search ResearchWorks


Advanced Search

Browse

My Account

Statistics

Related Information

Structural breaks and regime switching models: theoretical extensions and applications

Show full item record

Title: Structural breaks and regime switching models: theoretical extensions and applications
Author: Wang, Bruce Chang-Ming
Abstract: In 3 essays, regime switching and structural break models are explored and used in the fields of International Economics, Health Economics, and Macroeconomics. (1) Characterizing the Real Exchange Rate in a Switching AR(1) and Unit Root Model best represents its behavior in our long horizon data for 16 countries, which raises questions regarding the common practices of utilizing single process long horizon regressions, panel analysis, and structural breaks. (2) Using the SEER-Medicare database, the burden of illness of colorectal cancer patients from 1991-2002 is shown to have a break in the average first-year cost of treatment coinciding with the FDA approval date of irinotecan, a chemotherapy agent. (3) Simulations exploring the finite sample properties of endogenous structural breakpoint tests show that the performances of the nonlinear and linear forms are identical, but bootstrapped critical values should be used in small samples. Using the NAIRU as an example, the finite sample dangers of these tests are apparent.
Description: Thesis (Ph. D.)--University of Washington, 2007.
URI: http://hdl.handle.net/1773/7476

Files in this item

Files Size Format View
3265427.pdf 3.805Mb PDF View/Open

This item appears in the following Collection(s)

Show full item record