Detection procedure of structural changes in state-space models: impulse and steps indicator saturation technique

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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...

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Bibliographic Details
Main Authors:	Farid Zamani Che Rose, Mohd Tahir Ismail, Muhammad Aslam Safari, Nur Aqilah Khadijah Rosili, Muhammad Fadhil Marsani
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2025
Online Access:	http://journalarticle.ukm.my/25820/ http://journalarticle.ukm.my/25820/1/SME%2016.pdf

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