Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique
Econometrics
2022-02-08 v1 Applications
Abstract
This article proposes an estimation method to detect breakpoints for linear time series models with their parameters that jump scarcely. Its basic idea owes the group LASSO (group least absolute shrinkage and selection operator). The method practically provides estimates of such time-varying parameters of the models. An example shows that our method can detect each structural breakpoint's date and magnitude.
Keywords
Cite
@article{arxiv.2202.02988,
title = {Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique},
author = {Mikio Ito},
journal= {arXiv preprint arXiv:2202.02988},
year = {2022}
}
Comments
10 pages, 4 figures. The author reported the previous version in the 96th meeting of Western Economic Association International in 2021