Open AccessIndicator Saturation in Autoregressive Model using gets in R: A Computational Simulation and Empirical Evidence in Shariah Compliant Index
Author(s) -
M. Azim M. Nasir,
Mohd Tahir Ismail
Publication year - 2020
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1529/5/052042
Subject(s) - autoregressive model , boom , index (typography) , recession , econometrics , monte carlo method , financial crisis , computer science , saturation (graph theory) , structural break , economics , macroeconomics , mathematics , statistics , engineering , combinatorics , environmental engineering , world wide web
Structural changes is very important in analysing an economic situation such as an economic boom or recession. There has been a great demand to introduce an efficient method of detecting structural changes in a data series. One of the most recent method called step indicator saturation, uses the extension of general-to-specific modelling framework to detect the presence of structural changes. We believed from the Monte Carlo simulation results that step indicator saturation approach can also be applied to dynamic model: Autoregressive of Order One, AR(1). gets package in R provides an alternative software to Autometrics and it is outperform Autometrics in term of time processing. We apply this method to detect structural changes presence in Malaysia Shariah compliant index market and its conventional counterpart index. The results shows that, there are interdepence between Shariah compliant index and its conventional counterpart. The retained step indicators collide with global financial crisis, so this implied that Shariah compliant index does not immunized against the recession crisis.