Detection procedure of structural changes in state-space models: impulse and steps indicator saturation technique
The presence of extreme structural change in a sequence of data points over time may have a detrimental impact on the estimation of economic and financial indicators. Anomalies caused by these extreme values can distort the estimated parameters, diminish the accuracy of the time series model, and po...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2025
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| Online Access: | http://journalarticle.ukm.my/25820/ http://journalarticle.ukm.my/25820/1/SME%2016.pdf |