Bayesian simultaneous determination of structural breaks and lag lengths

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 630

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Statistical Simulation Methods: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Construction and Estimation
• Subject: Regime shifts ; Model uncertainty ; Model averaging ; Markov chain Monte Carlo ; Real interest rate ; Zeitreihenanalyse ; Lag-Modell ; Realzins ; Markovscher Prozess ; Entscheidung bei Unsicherheit

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hultblad, Brigitta
• Event: Veröffentlichung
• (who): Stockholm School of Economics, The Economic Research Institute (EFI)
• (where): Stockholm
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/56362
• Last update: 10.03.2025, 11:44 AM CET