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Statistical Papers

, Volume 48, Issue 4, pp 559–580 | Cite as

Simulated real-time detection of multiple structural changes: Evidence from Japanese economic growth

  • Kosei Fukuda
Articles

Abstract

An efficient treatment of practical issues on detecting multiple structural changes is presented. The efficacy of this method is examined by comparing the conventional hypothesis-testing method via comprehensive simulations and empirical applications. The method recommended is a model-selection using the Bayesian information criterion and allowing for heteroscedasticity. Empirical results show that the first structural change of Japanese economic growth occurred in 1974Q2, which was detected in 1979Q4, and that the second structural change occurred in 1992Q2, which was detected in 1998Q1. Two advantages of the model-selection method compared to the hypothesis-testing method are also discussed.

Keywords

Detection speed Information criterion Model selection Multiple structural changes 

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Copyright information

© Springer-Verlag 2007

Authors and Affiliations

  • Kosei Fukuda
    • 1
  1. 1.College of EconomicsNihon UniversityTokyoJapan

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