Testing, monitoring, and dating structural changes in exchange rate regimes
Achim Zeileis (),
Ajay Shah and
Ila Patnaik ()
Computational Statistics & Data Analysis, 2010, vol. 54, issue 6, 1696-1706
Linear regression models for deÂ facto exchange rate regime classification are complemented by inferential techniques for evaluating the stability of the regimes. To simultaneously assess parameter instabilities in the regression coefficients and the error variance an (approximately) normal regression model is adopted and a unified toolbox for testing, monitoring, and dating structural changes is provided for general (quasi-)likelihood-based regression models. Subsequently, the toolbox is employed for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and for tracking the evolution of the Indian exchange rate regime from 1993 until 2008.
Keywords: Parameter; instability; Foreign; exchange; rates; CNY; INR (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (56) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:54:y:2010:i:6:p:1696-1706
Access Statistics for this article
Computational Statistics & Data Analysis is currently edited by S.P. Azen
More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().