One-sided test for an unknown breakpoint: theory, computation, and application to monetary theory

Arturo Estrella and Anthony Rodrigues ()

No 232, Staff Reports from Federal Reserve Bank of New York

Abstract: The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup t statistic, which is distributed as a normalized Brownian bridge. The method is illustrated by testing whether the reaction of monetary policy to inflation has increased since 1959.

Keywords: time series analysis; Inflation (Finance); Monetary policy (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-cba, nep-ets and nep-mac
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