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Detection of Structural Changes Without Using P Values

  • Chon Van LeEmail author
Conference paper
Part of the Studies in Computational Intelligence book series (SCI, volume 809)

Abstract

The econometrics of structural change has evolved a lot since the classical Chow [5] test. Several approaches have been proposed to find the unknown breakdate. But they could be invalid as it is claimed that the P value has been misused for the past one hundred years. This paper reviews other methods of detecting structural changes. Specifically, the Bayes factor can be used for a pairwise comparison of competing models. The Markov-switching model is an effective way of dealing with a number of discrete regimes. But if the regime is a continuous normal variable, the Kalman filter is a better resolution.

Keywords

Structural changes Bayes factor Markov-switching model Kalman filter 

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.School of BusinessInternational University - VNU HCMCHo Chi Minh CityVietnam

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