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

DOI10.1007/S00362-007-0357-0zbMATH Open1125.62127OpenAlexW2024268238MaRDI QIDQ2457783FDOQ2457783

Authors: 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

Recommendations

• Simulation experiments on the performance of structural change tests in cointegration
• Measuring business cycle turning points in Japan with the Markov Switching Panel model
• Real-time nowcasting of nominal GDP with structural breaks
• Recent developments in the econometrics of structural change
• Joint detection of unit roots and cointegration: data-based simulation
• scientific article; zbMATH DE number 1784057
• Testing for multiple structural changes in cointegrated regression models
• Modelling a multi-period production process: evidence from the Japanese regional banks

zbMATH Keywords

Model selectionTablesInformation criterionDetection speedMultiple structural changes

Mathematics Subject Classification ID

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

Cites Work

• Estimating the number of change-points via Schwarz' criterion
• 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
• Monitoring Structural Change
• Title not available (Why is that?)
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• A procedure for the modeling of non-stationary time series

Cited In (4)

• The transmission of aggregate supply and aggregate demand shocks in Japan: has there been a structural change?
• Weak VARMA representations of regime-switching state-space models
• Distribution switching in financial time series
• Statistical Method for Detecting Structural Change in the Growth Process

This page was built for publication: Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2457783)