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

DOI10.1007/S00362-007-0357-0MaRDI QIDQ2457783zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1034049 (Why is no real title available?)
• A procedure for the modeling of non-stationary time series
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the number of change-points via Schwarz' criterion
• Monitoring Structural Change
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(4)

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

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