Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth

DOI10.1007/S00362-007-0357-0zbMath1125.62127OpenAlexW2024268238MaRDI QIDQ2457783

Kosei Fukuda

Publication date: 23 October 2007

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-007-0357-0

zbMATH Keywords

Model selectionTablesInformation criterionDetection speedMultiple structural changes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic growth models (91B62)

Related Items (2)

Weak VARMA representations of regime-switching state-space models ⋮ Distribution switching in financial time series

Cites Work

• Unnamed Item
• Estimating the number of change-points via Schwarz' criterion
• A procedure for the modeling of non-stationary time series
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Monitoring Structural Change

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