Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56362
Authors: 
Hultblad, Brigitta
Year of Publication: 
2006
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 630
Abstract: 
The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the number of structural breaks and vice versa we avoid some common pitfalls and are able to draw more robust conclusions. The approach is illustrated using both real and simulated data.
Subjects: 
Regime shifts
Model uncertainty
Model averaging
Markov chain Monte Carlo
Real interest rate
JEL: 
C11
C15
C22
C51
Document Type: 
Working Paper

Files in This Item:
File
Size
307.43 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.