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