Bayesian Model Averaging and Identification of Structural Breaks in Time Series
AbstractBayesian model averaging is used for testing for multiple break points in uni- variate series using conjugate normal-gamma priors. This approach can test for the number of structural breaks and produce posterior probabilities for a break at each point in time. Results are averaged over speciÖcations including: station- ary; stationary around trend; and, unit root models, each containing di§ erent types and numbers of breaks and di§ erent lag lengths. The procedures are used to test for structural breaks on 14 annual macroeconomic series and 11 natural resource price series. The results indicate that there are structural breaks in al l of the natural resource series and most of the macroeconomic series. Many of the series had multiple breaks. Our Öndings regarding the existence of unit roots, having al lowed for structural breaks in the data, are largely consistent with previous work.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 8676.
Date of creation: Oct 2007
Date of revision:
Bayesian Model Averaging; Structural Breaks; Unit Root; Macro- economic Data; Natural Resource data;
Other versions of this item:
- Kelvin Balcombe & Iain Fraser & Abhijit Sharma, 2011. "Bayesian model averaging and identification of structural breaks in time series," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3805-3818.
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-10 (All new papers)
- NEP-ECM-2008-05-10 (Econometrics)
- NEP-ETS-2008-05-10 (Econometric Time Series)
- NEP-ORE-2008-05-10 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bai, Jushan, 1999. "Likelihood ratio tests for multiple structural changes," Journal of Econometrics, Elsevier, vol. 91(2), pages 299-323, August.
- Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139.
- Ahrens, W. Ashley & Sharma, Vijaya R., 1997. "Trends in Natural Resource Commodity Prices: Deterministic or Stochastic?," Journal of Environmental Economics and Management, Elsevier, vol. 33(1), pages 59-74, May.
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