Abstract

SANCHEZ, Paola Andrea. Structural changes in time series : a revision of the state of the art. Rev. ing. univ. Medellin [online]. 2008, vol.7, n.12, pp.115-140. ISSN 1692-3324.

Recent developments in time series analysis reflect a growing need for developing models which allow capturing their different characteristics. Such is the case of structural changes, in which, very frequently, its presence affects the analysis of the series in a very important way. Different approaches to the modeling problem of structural changes have been made, which cover the calculation of known or unknown points, the representation of simple or multiple the influence of stationary or not immigrants, among others. The objective of this paper is to present recent developments in the field of structural changes modeling and to show how they affect identification of the model, its future and stability tests. If the development in this field had been growing, there are still in literature some spaces open to research, mainly related one with non-linear time series.

Keywords : Time series; structural changes.

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