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| Title: | | One-sided test for an unknown breakpoint: Theory, computation, and application to monetary theory  |
| Authors: | | Estrella, Arturo Rodrigues, Anthony P. |
| Issue Date: | | 2005 |
| Series/Report no.: | | Staff Report, Federal Reserve Bank of New York 232 |
| 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. |
| Subjects: | | break test monetary policy reaction function |
| JEL: | | C12 C22 E52 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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