The note answers two market questions: Signal Detection The Bai-Perron (2003) procedure endogenously detects multiple, unknown structural breaks in time series data. It flags regime breaks by identifying when parameters in a linear model change over time, providing consistent estimates of break dates, even with heterogeneous errors. Bai-Perron can be implemented in Python using theContinue reading “Iran War Regime Change in Oil Markets”
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Econophysics2020 