MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE
نویسندگان
چکیده
منابع مشابه
Multivariate Methods for Monitoring Structural Change
Detection of structural change is a critical empirical activity, but continuous ‘monitoring’ of series, for structural changes in real time, raises well-known econometric issues that have been explored in a single series context. If multiple series co-break then it is possible that simultaneous examination of a set of series helps identify changes with higher probability or more rapidly than wh...
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Detection of structural change is a critical empirical activity, but continuous ‘monitoring’ of time series for structural changes in real time raises well-known econometric issues. These have been explored in a univariate context. If multiple series co-break, as may be plausible, then it is possible that simultaneous examination of a multivariate set of data would help identify changes with hi...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2011
ISSN: 0883-7252
DOI: 10.1002/jae.1272