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    Identification of Changes in Mean with Regression Trees: An Application to Market Research

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    12615539_EconReview.pdf (2.313Mb)
    Author
    Rea, W.S.
    Reale, M.
    Cappelli, C.
    Brown, J.A.
    Date
    2009
    Permanent Link
    http://hdl.handle.net/10092/2760

    In this paper we present a computationally e cient method for nding multiple structural breaks at unknown dates based on regression trees. We outline the procedure and present the results of a simulation study to assess the performance of the method and to compare it with the procedure proposed by Bai and Perron. We nd the tree-based method performs well in long series which are impractical to analyze with current methods. We apply these methods plus the CUSUM test to the market share of Crest toothpaste between 1958 and 1963.

    Subjects
    Time series analysis
     
    Identification of multiple structural breaks at unknown times
     
    Fields of Research::230000 Mathematical Sciences::230200 Statistics::230204 Applied statistics
     
    Fields of Research::340000 Economics::340200 Applied Economics::340299 Applied economics not elsewhere classified
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    • Engineering: Journal Articles [935]
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