Improving an algorithm for break points detection based on regression trees
Type of content
Conference Contributions - Other
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Publisher's DOI/URI
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Degree name
Publisher
University of Canterbury. Department of Economics and Finance
University of Canterbury. Mathematics and Statistics
University of Canterbury. Mathematics and Statistics
Journal Title
Journal ISSN
Volume Title
Language
Date
2009
Authors
Brown, J.A.
Rea, W.S.
Reale, M.
Abstract
Powerpoint of presentation given at the conference, Computational and Financial Econometrics (CFE'09), Cyprus Oct 2009
Description
Citation
Brown, J.A., Rea, W.S., Reale, M. (2009) Improving an algorithm for break points detection based on regression trees. Limassol, Cyprus: 3rd International Conference on Computational and Financial Econometrics (CFE'09), 29-31 Oct 2009.
Keywords
structural breaks model, atheoretical regression trees, spurious breaks, enhanced temporal pruning