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Sangjo Lee on Muck Rack

Sangjo Lee

As seen in: Taylor & Francis Online
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Articles

Sequential monitoring of structural changes for cointegrated vector autoregressive models

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By Sangyeol Lee, Sangjo Lee
| Taylor & Francis Online
This study introduces a sequential monitoring method for detecting structural changes in cointegrated vector autoregressive (VAR) time series models. We present a novel approach that utilizes the location-scale cumulative sum (LSCUSUM) technique, which incorporates two key CUSUM processes: one for detecting changes in the vector autoregressive parameters, and another for identifying shifts in the covariance of the error terms.
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