Forecasting and estimating multiple change-point models with an unknown number of change points

Arbeitspapier

This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter model with a change point every period and the change-point model with a small number of regimes. We focus on the construction of reasonable hierarchical priors both for regime durations and for the parameters that characterize each regime. A Markov Chain Monte Carlo posterior sampler is constructed to estimate a change-point model for conditional means and variances. We find that our techniques work well in an empirical exercise involving U.S. inflation and GDP growth. Empirical results suggest that the number of change points is larger than previously estimated in these series and the implied model is similar to a time-varying parameter model with stochastic volatility

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 196

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Bayesian Analysis: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; General Aggregative Models: Forecasting and Simulation: Models and Applications
• Thema: Strukturbruch ; Prognoseverfahren ; Markovscher Prozess ; Schätzung ; Gesamtwirtschaftliche Produktion ; Inflation ; USA ; Statistische Verteilung

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Koop, Gary M. ; Potter, Simon M.
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2004

Weitere Informationen

• Handle: http://hdl.handle.net/10419/60650
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ