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Citations for "Estimation and comparison of multiple change-point models"

by Chib, Siddhartha

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  1. Andrew Levin & Jeremy Piger, 2003. "Is Inflation Persistence Intrinsic in Industrial Economies?," Computing in Economics and Finance 2003 298, Society for Computational Economics.
  2. Chun Liu & John M. Maheu, 2008. "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(3), pages 326-360, Summer.
  3. Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008. "Methods for inference in large multiple-equation Markov-switching models," Journal of Econometrics, Elsevier, Elsevier, vol. 146(2), pages 255-274, October.
  4. Gary Koop & Simon Potter, 2007. "A flexible approach to parametric inference in nonlinear time series models," Staff Reports 285, Federal Reserve Bank of New York.
  5. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
  6. repec:luc:wpaper:14-07 is not listed on IDEAS
  7. Pedro Galeano, 2004. "Use Of Cumulative Sums For Detection Of Changepoints In The Rate Parameter Of A Poisson Process," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws046816, Universidad Carlos III, Departamento de Estadística y Econometría.
  8. Krolzig, Hans-Martin, 2001. "Business cycle measurement in the presence of structural change: international evidence," International Journal of Forecasting, Elsevier, Elsevier, vol. 17(3), pages 349-368.
  9. Ko, Stanley I. M. & Chong, Terence T. L. & Ghosh, Pulak, 2014. "Dirichlet Process Hidden Markov Multiple Change-point Model," MPRA Paper 57871, University Library of Munich, Germany.
  10. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers, Banque de France 90, Banque de France.
  11. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337.
  12. Kaufmann Sylvia, 2011. "K-state switching models with endogenous transition distributions," Working Papers 2011-13, Swiss National Bank.
  13. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 144-160.
  14. Tian, Guo-Liang & Ng, Kai Wang & Li, Kai-Can & Tan, Ming, 2009. "Non-iterative sampling-based Bayesian methods for identifying changepoints in the sequence of cases of Haemolytic uraemic syndrome," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3314-3323, July.
  15. Eo, Yunjong & Kim, Chang-Jin, 2012. "Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?," Working Papers 2012-04, University of Sydney, School of Economics.
  16. Pettenuzzo, Davide & Timmermann, Allan, 2011. "Predictability of stock returns and asset allocation under structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 60-78, September.
  17. Yong Song, 2012. "Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model," Working Paper Series, The Rimini Centre for Economic Analysis 28_12, The Rimini Centre for Economic Analysis.
  18. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Econometric Society World Congress 2000 Contributed Papers 1465, Econometric Society.
  19. Markus Jochmann & Gary Koop, 2011. "Regime-Switching Cointegration," Working Papers 1125, University of Strathclyde Business School, Department of Economics.
  20. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
  21. Enders, Walter & Ma, Jun, 2011. "Sources of the great moderation: A time-series analysis of GDP subsectors," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 67-79, January.
  22. Chen, Cathy W.S. & Chan, Jennifer S.K. & So, Mike K.P. & Lee, Kevin K.M., 2011. "Classification in segmented regression problems," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2276-2287, July.
  23. Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics 04/26, Department of Economics, University of Leicester.
  24. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, Elsevier, vol. 149(2), pages 174-190, April.
  25. Christopher Nam & John Aston & Adam Johansen, 2014. "Parallel sequential Monte Carlo samplers and estimation of the number of states in a Hidden Markov Model," Annals of the Institute of Statistical Mathematics, Springer, vol. 66(3), pages 553-575, June.
  26. Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers 2011s-72, CIRANO.
  27. Nonejad, Nima, 2014. "Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks," MPRA Paper 55664, University Library of Munich, Germany.
  28. Gary Koop, 2004. "Modelling the evolution of distributions: an application to Major League baseball," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 167(4), pages 639-655.
  29. Chauvet, Marcelle & Senyuz, Zeynep, 2008. "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper 15076, University Library of Munich, Germany, revised Apr 2009.
  30. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(1), pages 83-105.
  31. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007,24, Christian-Albrechts-University of Kiel, Department of Economics.
  32. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
  33. Lubos Pastor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," NBER Working Papers 7778, National Bureau of Economic Research, Inc.
  34. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Forecasting Time Series Subject to Multiple Structural Breaks," Review of Economic Studies, Oxford University Press, vol. 73(4), pages 1057-1084.
  35. Marcelle Chauvet & Zeynep Senyuz, 2012. "A dynamic factor model of the yield curve as a predictor of the economy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-32, Board of Governors of the Federal Reserve System (U.S.).
  36. Chang-Jin Kim & Charles Nelson & Jeremy Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 707, Board of Governors of the Federal Reserve System (U.S.).
  37. Dimitris, Korobilis, 2013. "Forecasting with Factor Models: A Bayesian Model Averaging Perspective," MPRA Paper 52724, University Library of Munich, Germany.
  38. Caracciolo, Francesco & Gotor, Elisabetta & Holloway, Garth J. & Watts, Jamie, 2008. "The Origin, Development And Structure Of Demand For Plant Genetic Resources. The Impact Of The In Trust Agreements To The CGIAR Collections Availability," 82nd Annual Conference, March 31 - April 2, 2008, Royal Agricultural College, Cirencester, UK 36773, Agricultural Economics Society.
  39. Kim, Chang-Jin, 2009. "Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure," Journal of Econometrics, Elsevier, Elsevier, vol. 148(1), pages 46-55, January.
  40. Giordani, Paolo & Kohn, Robert, 2006. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Working Paper Series 196, Sveriges Riksbank (Central Bank of Sweden).
  41. Andrew D. Martin & Kevin M. Quinn & Jong Hee Park, . "MCMCpack: Markov Chain Monte Carlo in R," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 42(i09).
  42. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE.
  43. Richard G. Anderson & Barry Jones & Marcelle Chauvet, 2013. "Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy," Working Papers 2013-018, Federal Reserve Bank of St. Louis.
  44. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(3), pages 411-425.
  45. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters," Bank of England working papers 450, Bank of England.
  46. Liu, Chun, 2010. "Marginal likelihood calculation for gelfand-dey and Chib Method," MPRA Paper 34928, University Library of Munich, Germany.
  47. Giordani, Paolo & Villani, Mattias, 2009. "Forecasting Macroeconomic Time Series With Locally Adaptive Signal Extraction," Working Paper Series 234, Sveriges Riksbank (Central Bank of Sweden).
  48. Kapetanios, George & Mumtaz, Haroon & Stevens, Ibrahim & Theodoridis, Konstantinos, 2012. "Assessing the economy-wide effects of quantitative easing," Bank of England working papers 443, Bank of England.
  49. Jinho Bae & Chang-Jin Kim & Dong Heon Kim, 2011. "The Evolution of the Monetary Policy Regimes in the U.S," Discussion Paper Series 1102, Institute of Economic Research, Korea University.
  50. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  51. Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010. "Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(2), pages 326-347, April.
  52. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
  53. Sugita, Katsuhiro, 2008. "Bayesian analysis of a Markov switching temporal cointegration model," Japan and the World Economy, Elsevier, Elsevier, vol. 20(2), pages 257-274, March.
  54. Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo, 2014. "Real-Time Nowcasting Nominal GDP Under Structural Break," MPRA Paper 53699, University Library of Munich, Germany.
  55. Yann Guédon, 2013. "Exploring the latent segmentation space for the assessment of multiple change-point models," Computational Statistics, Springer, vol. 28(6), pages 2641-2678, December.
  56. Gary Koop & Simon Potter, 2010. "A flexible approach to parametric inference in nonlinear and time varying time series models," Post-Print peer-00732535, HAL.
  57. Natalia Fabra & Juan Toro, 2003. "The Fall in British Electricity Prices: Market Rules, Market Structure, or Both?," Industrial Organization, EconWPA 0309001, EconWPA.
  58. Gomez, Manuel & Melvin, Michael & Nardari, Federico, 2007. "Explaining the early years of the euro exchange rate: An episode of learning about a new central bank," European Economic Review, Elsevier, vol. 51(3), pages 505-520, April.
  59. Nicolas Chopin, 2007. "Dynamic Detection of Change Points in Long Time Series," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(2), pages 349-366, June.
  60. Pierangelo De Pace, 2005. "Grid-Bootstrap Methods vs. Bayesian Analysis. Testing for Structural Breaks in the Conditional Variance of Nominal Interest Rate Spreads - Four Cases in Europe," Econometrics, EconWPA 0509011, EconWPA, revised 07 Sep 2005.
  61. Managi, Shunsuke & Managi, Shunsuke & Okimoto, Tatsuyoshi, 2013. "Does the price of oil interact with clean energy prices in the stock market?," MPRA Paper 46067, University Library of Munich, Germany.
  62. Nima Nonejad, 2013. "Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach," CREATES Research Papers 2013-26, School of Economics and Management, University of Aarhus.
  63. Gary M. Koop & Simon M. Potter, 2004. "Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points," Discussion Papers in Economics 04/31, Department of Economics, University of Leicester.
  64. Bakhodir A Ergashev, 2004. "Sequential Detection of US Business Cycle Turning Points: Performances of Shiryayev-Roberts, CUSUM and EWMA Procedures," Econometrics, EconWPA 0402001, EconWPA, revised 16 Mar 2004.
  65. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
  66. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2008. "Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade," Journal of the Japanese and International Economies, Elsevier, vol. 22(3), pages 320-342, September.
  67. Anatoliy Belaygorod & Michael J. Dueker, 2007. "The price puzzle and indeterminacy in an estimated DSGE model," Working Papers 2006-025, Federal Reserve Bank of St. Louis.
  68. Smith, Aaron, 2005. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 321-335, July.
  69. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-007, Boston University - Department of Economics.
  70. Galeano, Pedro, 2007. "The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6151-6165, August.
  71. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
  72. Kim, Chang-Jin & Kim, Jaeho, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," MPRA Paper 51117, University Library of Munich, Germany.
  73. Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "On the Evolution of Monetary Policy," Working Paper Series, The Rimini Centre for Economic Analysis 24-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  74. Miles, William & Vijverberg, Chu-Ping, 2011. "Formal targets, central bank independence and inflation dynamics in the UK: A Markov-Switching approach," Journal of Macroeconomics, Elsevier, Elsevier, vol. 33(4), pages 644-655.
  75. Ni, Shawn & Sun, Dongchu, 2003. "Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models," Journal of Econometrics, Elsevier, Elsevier, vol. 115(1), pages 159-197, July.
  76. William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon, 2014. "Real-Time Nowcasting of Nominal GDP Under Structural Breaks," Working Papers 14-39, Bank of Canada.
  77. Liu, Chun & Liu, Qing, 2012. "Marginal likelihood calculation for the Gelfand–Dey and Chib methods," Economics Letters, Elsevier, vol. 115(2), pages 200-203.
  78. Duncan Fong & Wayne DeSarbo, 2007. "A Bayesian methodology for simultaneously detecting and estimating regime change points and variable selection in multiple regression models for marketing research," Quantitative Marketing and Economics, Springer, vol. 5(4), pages 427-453, December.
  79. Georges Dionne & Olfa Maalaoui Chun, 2013. "Default and liquidity regimes in the bond market during the 2002-2012 period," Canadian Journal of Economics, Canadian Economics Association, vol. 46(4), pages 1160-1195, November.
  80. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.
  81. Kim, C.-J.Chang-Jin, 2004. "Markov-switching models with endogenous explanatory variables," Journal of Econometrics, Elsevier, Elsevier, vol. 122(1), pages 127-136, September.
  82. Belaygorod, Anatoliy & Dueker, Michael, 2009. "Indeterminacy, change points and the price puzzle in an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 624-648, March.
  83. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business 2012:12, Örebro University, School of Business.
  84. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," Les Cahiers de Recherche 740, HEC Paris.
  85. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, Elsevier, vol. 163(2), pages 172-185, August.
  86. Chang-Jin Kim & Pym Manopimoke & Charles R. Nelson, 2013. "Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve," Discussion Paper Series 1305, Institute of Economic Research, Korea University.
  87. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  88. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
  89. Jaehee Kim & Sooyoung Cheon, 2010. "Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo," Computational Statistics, Springer, vol. 25(2), pages 215-239, June.