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Keywords: Structural breaks
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Journal Articles
International Journal of Energy Sector Management (2023) 17 (3): 595–616.
Published: 31 May 2022
... both the linear (symmetric) autoregressive distributed lag (ARDL) by Pesaran et al. (2001) and non-linear (asymmetric) ARDL by Shin et al. (2014), and they also account for structural breaks using the Bai and Perron (2003) test that allows for multiple structural changes in regression...
Journal Articles
International Journal of Energy Sector Management (2020) 14 (4): 729–744.
Published: 31 January 2020
... The study adopts a recently developed predictability model by Westerlund and Narayan (2015), which accounts for persistence, endogeneity and heteroscedasticity. It also accounts for structural breaks in the predictive models. Findings The empirical results show that only a unidirectional causal...
Journal Articles
International Journal of Energy Sector Management (2019) 13 (1): 60–76.
Published: 01 April 2019
...Amine Lahiani Purpose The purpose of this paper is to explore the effect of oil price shocks on the US Consumer Price Index over the monthly period from 1876:01 to 2014:04. Design/methodology/approach The author uses the Bai and Perron (2003) structural break test to split the data sample...
