Structural break and Casey King

Linear regression with a structural break

A structural break is a concept in econometrics. A structural break appears when we see an unexpected shift in a (macroeconomic) time series. This can lead to huge forecasting errors and unreliability of the model in general. This issue was popularised by David Hendry.

Contents 1 Test 2 More sophisticated model 3 See also 4 References

Test

In general, the CUSUM (cumulative sum) and CUSUM-sq (CUSUM squared) tests can be used to test the constancy of the coefficients in a model. The bounds test can also be used.

For a linear model with one known single break in mean, the Chow test is often used. If the single break in mean is unknown, then Hartley's test may be appropriate. Other challenges are where there are: Case 1: a known number of unknown breaks in mean; Case 2: an unknown number of (unknown) breaks in mean; Case 3: breaks in variance.

The Chow test is not applicable for these situations; however, for cases 1 and 2, the sup-Wald, sup-LM, and sup-LR tests developed in Andrews (1993) & Andrews (2003) may be used to test for parameter instability when the change points (the structural break locations) are unknown.

For nonstationary process, there are many more challenges. For a cointegration model, the Gregory and Hansen test (1996) is used for one unknown structural break, and the Hatemi-J test (2006) is used for two unknown breaks.

There are several programs that can be used to find structural breaks, including R (open source) and GAUSS. More sophisticated model

If there are too many unknown breaks, then just assume the parameter to be time varying.

The latest method has been used by Bai and Perron (2003) in which multiple structural breaks can be automatically detected from data. The literature in this regard is very vast starting right from 1987 to 2010. Recently economists are going for both growth rate analysis and also econometric analysis in order to find break points one such way has been recommended by Chandan Mukherjee (2009). See also Structural change The Great Moderation Change detection

Casey King and Structural break

William Casey King ("Casey King") is an award-winning author, filmmaker and historian of ideas who currently serves as the Executive Director of the Yale Center for Analytical Sciences. King was formerly the Executive Director of the W.E.B. DuBois Institute at Harvard University. In the 1980s, prior to becoming an author and historian, King was a corporate bond trader for Salomon Brothers.

Contents 1 Books and Publications 2 Film and Play 3 Work on Financial Markets 4 Personal 5 References

Books and Publications

King is the author of Ambition, A History, From Vice to Virtue published by Yale University Press in January, 2013. The book traces ambition's transformation from pernicious vice to celebrated American virtue. King also co-authored Oh, Freedom! Kids Talk About the Civil Rights Movement with the People who Made it Happen which was the recipient the Flora Steiglitz Strauss Award in 1997. The book was the result of an oral history project that King conducted while an elementary school teacher in Washington, D.C.

King has written scholarly articles on abolitionists in film and ambition and sin in Anglo-American culture. He has written book reviews for The New York Times. Film and Play

Prior to publishing his two books, King wrote, directed and produced a documentary film on African American artist Henry Ossawa Tanner that was aired on many public television stations. King won a grant from the National Endowment for the Humanities to produce the film in conjunction with the Philadelphia Museum of Art.

In 2011, King also wrote and directed a historical play. Drawn from her letters, King wrote the play A Revolutionary Woman: An Afternoon with Mrs. Mercy Otis Warren. King directed performances of the play at the Yale University Art Gallery in September 2011. Work on Financial Markets

King is also known for his work on the financial markets. He performed a study on the efficacy or lack thereof of the SEC Circuit Breakers. He also served as a panelist on "The Volatility Economy: Wall Street, Main Street and the Middle Class" along with Robert Shiller, Jacob Hacker, Frank Hathaway and Joe Nocera. King also developed a Lexicon of words to assist in event risk hedging in the corporate bond market. He has presented his findings in several other venues, including delivering the keynote address at “Battle of the Quants,” New York, NY March, 2012. Personal

King was born in New York City but spent his early childhood on Greenfield Hill in Fairfield, Connecticut. He graduated from Phillips Academy Andover and then was an undergraduate at Tulane and Harvard University. He later received his PhD from Yale. King also went on to become an avid cyclist. While living in the south of France, King was a member of the French cycling team AVC Aix, now a farm team for the professional Cofidis team. He also rode for a UFOLEP team based in Cavaillon. In 2005, King broke away alone early in the "Challenge Yves Jullian" to win the race at least two minutes in front of the entire field. While pursuing his PhD in 2002, King also rode for the Yale Cycling Team, winning a silver medal at the collegiate national championships in the team time trial in 2002. He lives in Hamden, CT.
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