This study explores the empirical validity of the Feldstein-Horioka puzzle for China in the presence of structural breaks. To this end, we employ the recently proposed multiple-break cointegration test of Maki (2012), along with the one-break Gregory and Hansen (1996) cointegration test. Once the existence of the cointegration between domestic savings and investment is ensured by allowing for endogenous structural breaks, Fully Modified Ordinary Least Squares (FMOLS) and Dynamic Ordinary Least Squares (DOLS) estimation procedures are implemented to obtain reliable inferences from the cointegrating regression. Empirical results reveal that the relationship between Chinese domestic savings and investment has changed with the regime shift towards flexible exchange rates and the 2008-2009 global financial crises. More specifically, with the introduction of managed floating exchange rate regime, a substantial reduction is observed in the almost unitary saving retention coefficient of the fixed exchange rate period. Furthermore, the correlation has experienced a slight increase since 2009, which coincides with the worldwide protectionist policies adopted in the depth of the global financial crisis.
The electricity price forecasting (EPF) is a challenging task not only because of the uncommon characteristics of electricity but also because of the existence of many potential predictors with changing predictive abilities over time. Particularly, how to account for all available factors and extract as much information as possible is the key to the production of accurate forecasts. To address this long-standing issue in a way that balances complexity and forecasting accuracy while facilitating the traceability of the predictor selection procedure, the method of Bootstrap Aggregation (bagging), which is a variant shrinkage estimation approach for the * Corresponding author.
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