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Detection of Multiple Changes of Variance Using Posterior Odds

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  • Inclan, Carla

Abstract

This article uses a Bayesian procedure based on obtaining posterior odds to assess the evidence about the existence of multiple changes of variance in a time series. The approach is developed for sequences of independent observations. An extension to consider autoregressive models is also discussed. The information on the data about the location of the change points and the magnitude of the variances at the different pieces of the series is summarized through posterior distributions. The procedure is illustrated with a well-known financial series.

Suggested Citation

  • Inclan, Carla, 1993. "Detection of Multiple Changes of Variance Using Posterior Odds," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 289-300, July.
  • Handle: RePEc:bes:jnlbes:v:11:y:1993:i:3:p:289-300
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    Cited by:

    1. Llubos Pástor, 2001. "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, vol. 56(4), pages 1207-1239, August.
    2. repec:eee:phsmap:v:490:y:2018:i:c:p:439-450 is not listed on IDEAS
    3. repec:eee:finana:v:52:y:2017:i:c:p:49-61 is not listed on IDEAS
    4. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
    5. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
    6. Cook, Steven, 2006. "Testing for cointegration in the presence of mis-specified structural change," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1380-1384, July.
    7. repec:eee:tefoso:v:126:y:2018:i:c:p:271-283 is not listed on IDEAS
    8. 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.
    9. Jean-Yves Pitarakis, 2004. "Least squares estimation and tests of breaks in mean and variance under misspecification," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 32-54, June.
    10. Terence Chong, 2001. "Estimating the locations and number of change points by the sample-splitting method," Statistical Papers, Springer, vol. 42(1), pages 53-79, January.
    11. repec:bla:jtsera:v:38:y:2017:i:6:p:1028-1052 is not listed on IDEAS
    12. Katsuhiro Sugita, 2008. "Bayesian analysis of a vector autoregressive model with multiple structural breaks," Economics Bulletin, AccessEcon, vol. 3(22), pages 1-7.
    13. Yuzhi Cai & Neville Davies, 2003. "Monitoring the parameter changes in general ARIMA time series models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(9), pages 983-1001.
    14. repec:eee:ecosta:v:4:y:2017:i:c:p:70-90 is not listed on IDEAS

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