Model-Selection-Based Monitoring Of Structural Change
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May 1, 2005
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Kosei Fukuda
College of Economics, Nihon University, Japan
Abstract
Monitoring structural change is performed not by hypothesis testing but by model selection using a modified Bayesian information criterion. It is found that concerning detection accuracy and detection speed, the proposed method shows better performance than the hypothesis-testing method. Two advantages of the proposed method are also discussed.
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