Structural breaks in time series reveal hidden impact of historical events
The article explores how changes in a time series affect our understanding of its patterns. By using specific tests, the researchers found that these changes can impact our interpretation of the data. Through experiments, they showed that the tests work well even when the series has breaks in its trend or average values. When looking at German economic data, they discovered that the series can be best explained using a fractional model with a significant break in trend caused by World War II.