Arbeitspapier
An Alternative Bayesian Approach to Structural Breaks in Time Series Models
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior distribution. Modeling boils down to the choice of a parametric likelihood specification and a baseline prior with the proper support for the parameters. The approach accounts in a natural way for potential out-of-sample breaks where the number of breaks is stochastic. Posterior inference involves simple computations that are less demanding than existing methods. The approach is illustrated on nonlinear discrete time series models and models with restrictions on the parameter space.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 11-023/4
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation
Forecasting Models; Simulation Methods
Computational Techniques; Simulation Modeling
- Thema
-
Structural breaks
Bayesian analysis
forecasting
MCMC methods
nonlinear time series
Zeitreihenanalyse
Strukturbruch
Bayes-Statistik
Prognoseverfahren
Nichtlineares Verfahren
Markovscher Prozess
Monte-Carlo-Methode
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
van den Hauwe, Sjoerd
Paap, Richard
van Dijk, Dick J.C.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- van den Hauwe, Sjoerd
- Paap, Richard
- van Dijk, Dick J.C.
- Tinbergen Institute
Entstanden
- 2011
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