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dc.contributor.authorHultblad, Brigittaen
dc.date.accessioned2012-03-28T13:11:15Z-
dc.date.available2012-03-28T13:11:15Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x630en
dc.subject.jelC11en
dc.subject.jelC15en
dc.subject.jelC22en
dc.subject.jelC51en
dc.subject.ddc330en
dc.subject.keywordRegime shiftsen
dc.subject.keywordModel uncertaintyen
dc.subject.keywordModel averagingen
dc.subject.keywordMarkov chain Monte Carloen
dc.subject.keywordReal interest rateen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwLag-Modellen
dc.subject.stwRealzinsen
dc.subject.stwMarkovscher Prozessen
dc.subject.stwEntscheidung bei Unsicherheiten
dc.titleBayesian simultaneous determination of structural breaks and lag lengths-
dc.typeWorking Paperen
dc.identifier.ppn513493379en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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