 Monitoring unit root and multiple structural changes: An information criterion approachKosei Fukuda () Mathematics and Computers in Simulation (MATCOM), 2006, vol. 71, issue 2, 121-130 Abstract: An information criterion-based model selection method is proposed for monitoring unit root and multiple structural changes. In this method, a battery of possible models is considered by changing the integration order (I(0) or I(1)) and the combinations of change points. Next, the best model is selected from among alternative models via a modified Bayesian information criterion (BIC). Accordingly, on the basis of the selected model, the process that generates the observed time series is determined. The BIC is modified in order to adjust the frequency count of incorrectly selecting stationary models via the conventional BIC. The simulation results of monitoring unit root and structural change suggest that the proposed method outperforms the conventional hypothesis testing method in terms of detection accuracy and detection speed. Furthermore, the empirical results suggest that the proposed method exhibits better performances with regard to detection stability and forecastability. Keywords: BIC; Detection accuracy; Detection speed; Detection stability; Forecasting (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:71:y:2006:i:2:p:121-130 DOI: 10.1016/j.matcom.2006.01.003 Access Statistics for this article Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.