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Detecting volcanic eruptions in temperature reconstructions by designed break-indicator saturation

Abstract:

We present a methodology for detecting structural breaks at any point in time-series regression models using an indicator saturation approach. Building on recent developments in econometric model selection for more variables than observations, we saturate a regression model with a full set of designed break functions. By selecting over these break functions using an extended general-to-specific algorithm, we obtain unbiased estimates of the break date and magnitude. Monte Carlo simulations co...

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Publication status:
Published

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Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2016-02-12
Paper number:
780
Keywords:
Pubs id:
1143612
Local pid:
pubs:1143612
Deposit date:
2020-12-15

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