Ruxandra Prodan
Biographic Data
| ID | 8920062 |
|---|---|
| NAME | Ruxandra Prodan |
| GIVEN NAMES | Ruxandra |
| FAMILY NAME | Prodan |
| SIGNATURE | PRODAN R |
| AFFILIATIONS | University of Houston |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2008 |
| LATEST PUBLICATION YEAR | 2008 |
| H-INDEX | 0 |
Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity
We investigate the empirical performance of the Bai and Perron multiple structural change tests and show that the use of their critical values may cause severe size distortions in persistent series. To correct these size distortions while maintaining a good power, we implement the Bai structural change test and extend it in two directions, developing a new procedure to choose the number of breaks and a restricted version that specifically models …
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Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity
We investigate the empirical performance of the Bai and Perron multiple structural change tests and show that the use of their critical values may cause severe size distortions in persistent series. To correct these size distortions while maintaining a good power, we implement the Bai structural change test and extend it in two directions, developing a new procedure to choose the number of breaks and a restricted version that specifically models …
Cointegration (1 work) · Computer Science (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Macroeconomics (1 work) · Market Dynamics and Volatility (1 work) · Mathematics (1 work) · Mean reversion (1 work) · Monetary Policy and Economic Impact (1 work)