Dating structural changes: An illustration from financial deregulation

Duane Graddy (), Reuben Kyle (), Thomas Strickland and David Bass

Journal of Economics and Finance, 2004, vol. 28, issue 2, 155-163

Abstract: Recent developments in econometrics emphasize the importance of testing for structural breaks in time series analysis. The typical event study of financial economics examines abnormal stock market returns around arbitrarily established dates. The paper has two objectives. The first aim is to present an application of the switching regression methodology to date structural changes in the return-generating function of financial firms. The second objective is to assess the effectiveness of the conventional event methodology in dating regime shifts associated with regulatory changes in the financial services industry. (JEL C52, G21) Copyright Springer 2004

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/BF02761608 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jecfin:v:28:y:2004:i:2:p:155-163

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/12197/PS2

DOI: 10.1007/BF02761608

Access Statistics for this article

Journal of Economics and Finance is currently edited by James Payne

More articles in Journal of Economics and Finance from Springer, Academy of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().