Testing, Monitoring, and Dating Structural Changes in Exchange Rate Regimes

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Authors Achim Zeileis, Ajay Shah, Ila Patnaik
Journal/Conference Name Computational Statistics & Data Analysis
Paper Category
Paper Abstract Linear regression models for de facto exchange rate regime classification are complemented by inferential techniques for evaluating the stability of the regimes. To simultaneously assess parameter instabilities in the regression coefficients and the error variance an (approximately) normal regression model is adopted and a unified toolbox for testing, monitoring, and dating structural changes is provided for general (quasi-)likelihood-based regression models. Subsequently, the toolbox is employed for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and for tracking the evolution of the Indian exchange rate regime from 1993 until 2008.
Date of publication 2010
Code Programming Language R
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