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dc.contributor.authorHultblad, Brigittaen_US
dc.date.accessioned2012-03-28T13:11:15Z-
dc.date.available2012-03-28T13:11:15Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/56362-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 630en_US
dc.subject.jelC11en_US
dc.subject.jelC15en_US
dc.subject.jelC22en_US
dc.subject.jelC51en_US
dc.subject.ddc330en_US
dc.subject.keywordRegime shiftsen_US
dc.subject.keywordModel uncertaintyen_US
dc.subject.keywordModel averagingen_US
dc.subject.keywordMarkov chain Monte Carloen_US
dc.subject.keywordReal interest rateen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwLag-Modellen_US
dc.subject.stwRealzinsen_US
dc.subject.stwMarkovscher Prozessen_US
dc.subject.stwEntscheidung bei Unsicherheiten_US
dc.titleBayesian simultaneous determination of structural breaks and lag lengthsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn513493379en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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