Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique

Mikio Ito

Papers from arXiv.org

Abstract: This article proposes an estimation method to detect breakpoints for linear time series models with their parameters that jump scarcely. Its basic idea owes the group LASSO (group least absolute shrinkage and selection operator). The method practically provides estimates of such time-varying parameters of the models. An example shows that our method can detect each structural breakpoint's date and magnitude.

Date: 2022-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2202.02988

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