A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance
AbstractWe consider a deterministically trending dynamic time series model in which multiple structural changes in level, trend, and error variance are modeled explicitly and the number, but not the timing, of the changes is known. Estimation of the model is made possible by the use of the Gibbs sampler. The determination of the number of structural breaks and the form of structural change is considered as a problem of model selection, and we compare the use of marginal likelihoods, posterior odds ratios, and Schwarz's Bayesian model-selection criterion to select the most appropriate model from the data. We evaluate the efficacy of the Bayesian approach using a small Monte Carlo experiment. As empirical examples, we investigate structural changes in the U.S. ex post real interest rate and in a long time series of U.S. real gross domestic product.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 18 (2000)
Issue (Month): 3 (July)
Contact details of provider:
Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Yi-Chi Chen & Wei-Choun Yu, 2011. "Structural change in the forward discount: a Bayesian analysis of forward rate unbiasedness hypothesis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1807-1826.
- Maheu, John & Song, Yong, 2012.
"A new structural break model with application to Canadian inflation forecasting,"
36870, University Library of Munich, Germany.
- John M Maheu & Yong Song, 2012. "A New Structural Break Model with Application to Canadian Inflation Forecasting," Working Papers tecipa-448, University of Toronto, Department of Economics.
- John M. Maheu & Yong Song, 2012. "A New Structural Break Model with Application to Canadian Inflation Forecasting," Working Paper Series 27_12, The Rimini Centre for Economic Analysis.
- Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary, University of London, School of Economics and Finance.
- David Cuberes & Michał Jerzmanowski, 2009.
"Democracy, Diversification and Growth Reversals,"
Royal Economic Society, vol. 119(540), pages 1270-1302, October.
- Jiménez-Rodríguez, Rebeca & Morales-Zumaquero, Amalia & Égert, Balázs, 2010. "The effect of foreign shocks in Central and Eastern Europe," Journal of Policy Modeling, Elsevier, vol. 32(4), pages 461-477, July.
- Rebeca Jiménez-Rodriguez & Amalia Morales-Zumaquero & Balazs Egert, 2010.
"The VARying Effect of Foreign Shocks in Central and Eastern Europe,"
CESifo Working Paper Series
3080, CESifo Group Munich.
- Rebeca Jimenez-Rodriguez & Amalia Morales-Zumaquero & Balazs Egert, 2010. "The VARying Effect of Foreign Shocks in Central and Eastern Europe," William Davidson Institute Working Papers Series wp989, William Davidson Institute at the University of Michigan.
- Peter M. Summers, 2003.
"Bayesian Evidence on the Structure of Unemployment,"
Melbourne Institute Working Paper Series
wp2003n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Summers, Peter M., 2004. "Bayesian evidence on the structure of unemployment," Economics Letters, Elsevier, vol. 83(3), pages 299-306, June.
- Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
- Sabate, Marcela & Gadea, Maria Dolores & Serrano, Jose Maria, 2003. "PPP and structural breaks. The peseta-sterling rate, 50 years of a floating regime," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 613-627, October.
- Yong Song, 2012. "Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model," Working Paper Series 28_12, The Rimini Centre for Economic Analysis.
- Katsuhiro Sugita, 2008. "Bayesian analysis of a vector autoregressive model with multiple structural breaks," Economics Bulletin, AccessEcon, vol. 3(22), pages 1-7.
- Rebeca Jiménez-Rodríguez & Giuseppe Russo, 2008.
"Institutional Rigidities and Employment Rigidity on the Italian Labour Market,"
Applied Economics Quarterly (formerly: Konjunkturpolitik),
Duncker & Humblot, Berlin, vol. 54(3), pages 217-227.
- Jiménez-Rodríguez, Rebeca & Russo, Giuseppe, 2007. "Institutional rigidities and employment rigidity on the Italian labour larket," MPRA Paper 5758, University Library of Munich, Germany.
- Eduard Baumöhl & Štefan Lyócsa & Tomáš Výrost, 2011. "Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 530-544, December.
- Sanz-Villarroya, Isabel, 2005. "The convergence process of Argentina with Australia and Canada: 1875-2000," Explorations in Economic History, Elsevier, vol. 42(3), pages 439-458, July.
- repec:ebl:ecbull:v:3:y:2008:i:22:p:1-7 is not listed on IDEAS
- Sugita, Katsuhiro, 2008. "Bayesian analysis of a Markov switching temporal cointegration model," Japan and the World Economy, Elsevier, vol. 20(2), pages 257-274, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.