Relevant parameter changes in structural break models
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jeconom.2019.10.008
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Robert Tibshirani & Michael Saunders & Saharon Rosset & Ji Zhu & Keith Knight, 2005. "Sparsity and smoothness via the fused lasso," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(1), pages 91-108, February.
- Pierre Del Moral & Arnaud Doucet & Ajay Jasra, 2006. "Sequential Monte Carlo samplers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 411-436, June.
- Maheu, John M. & Song, Yong, 2014.
"A new structural break model, with an application to Canadian inflation forecasting,"
International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.
- John M. Maheu & Yong Song, 2012. "A New Structural Break Model with Application to Canadian Inflation Forecasting," Working Paper series 27_12, Rimini Centre for Economic Analysis.
- Maheu, John & Song, Yong, 2012. "A new structural break model with application to Canadian inflation forecasting," MPRA Paper 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.
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Hamilton, James D., 1996. "This is what happened to the oil price-macroeconomy relationship," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 215-220, October.
- Kalli, Maria & Griffin, Jim E., 2014. "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, vol. 178(2), pages 779-793.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016.
"Large Bayesian VARMAs,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
- Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper series 40_14, Rimini Centre for Economic Analysis.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," SIRE Discussion Papers 2015-06, Scottish Institute for Research in Economics (SIRE).
- Bitto, Angela & Frühwirth-Schnatter, Sylvia, 2019. "Achieving shrinkage in a time-varying parameter model framework," Journal of Econometrics, Elsevier, vol. 210(1), pages 75-97.
- 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.
- Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2012.
"Time Varying Dimension Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 358-367, January.
- Joshua C.C. Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2010. "Time Varying Dimension Models," Working Paper series 44_10, Rimini Centre for Economic Analysis.
- Joshua Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011. "Time Varying Dimension Models," Working Papers 1116, University of Strathclyde Business School, Department of Economics.
- Joshua C.C. Chan & Garry Koop & Roberto Leon Gonzales & Rodney W. Strachan, 2010. "Time Varying Dimension Models," ANU Working Papers in Economics and Econometrics 2010-523, Australian National University, College of Business and Economics, School of Economics.
- Joshua C C Chan & Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011. "Time Varying Dimension Models," CAMA Working Papers 2011-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chan, Joshua C C & Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W, 2010. "Time Varying Dimension Models," SIRE Discussion Papers 2012-33, Scottish Institute for Research in Economics (SIRE).
- Park, Trevor & Casella, George, 2008. "The Bayesian Lasso," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 681-686, June.
- Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2015.
"The Contribution of Structural Break Models to Forecasting Macroeconomic Series,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 596-620, June.
- BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen V. K., 2011. "A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models," LIDAM Discussion Papers CORE 2011003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Korobilis, Dimitris & Koop, Gary & Rombouts, Jeroen V.K., 2011. "A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models," SIRE Discussion Papers 2011-25, Scottish Institute for Research in Economics (SIRE).
- Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts, 2011. "A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models," Working Papers 1113, University of Strathclyde Business School, Department of Economics.
- Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2011. "A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models," Cahiers de recherche 1104, CIRPEE.
- Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2011. "The Contribution of Structural Break Models to Forecasting Macroeconomic Series," Working Paper series 38_11, Rimini Centre for Economic Analysis.
- Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts, 2011. "A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models," CIRANO Working Papers 2011s-13, CIRANO.
- Miguel A.G. Belmonte & Gary Koop & Dimitris Korobilis, 2014.
"Hierarchical Shrinkage in Time‐Varying Parameter Models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 80-94, January.
- Belmonte, Miguel A & Koop, Gary & Korobilis, Dimitris, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," SIRE Discussion Papers 2012-68, Scottish Institute for Research in Economics (SIRE).
- Miguel A. G. Belmonte & Gary Koop & Dimitris Korobilis, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," Working Paper series 35_11, Rimini Centre for Economic Analysis.
- BELMONTE, Miguel A.G. & KOOP, Gary & KOROBILIS, Dimitris, 2011. "Hierarchical shrinkage in time-varying parameter models," LIDAM Discussion Papers CORE 2011036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Miguel Belmonte & Gary Koop & Dimitris Korobilis, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," Working Papers 1137, University of Strathclyde Business School, Department of Economics.
- Miguel, Belmonte & Gary, Koop & Dimitris, Korobilis, 2011. "Hierarchical shrinkage in time-varying parameter models," MPRA Paper 31827, University Library of Munich, Germany.
- Chun Yip Yau & Zifeng Zhao, 2016. "Inference for multiple change points in time series via likelihood ratio scan statistics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(4), pages 895-916, September.
- Lutz Kilian & Robert J. Vigfusson, 2013.
"Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 78-93, January.
- Lutz Kilian & Robert J. Vigfusson, 2012. "Do oil prices help forecast U.S. real GDP? the role of nonlinearities and asymmetries," International Finance Discussion Papers 1050, Board of Governors of the Federal Reserve System (U.S.).
- Kilian, Lutz & Vigfusson, Robert J., 2012. "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," CEPR Discussion Papers 8980, C.E.P.R. Discussion Papers.
- Maheu, John M. & Song, Yong & Yang, Qiao, 2020.
"Oil price shocks and economic growth: The volatility link,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 570-587.
- John M. Maheu & Yong Song & Qiao Yang, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," Working Paper series 18-03, Rimini Centre for Economic Analysis.
- Maheu, John M & Song, Yong & Yang, Qiao, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83999, University Library of Munich, Germany.
- Maheu, John M & Yang, Qiao & Song, Yong, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83779, University Library of Munich, Germany.
- Inoue, Atsushi & Kilian, Lutz, 2008. "How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 511-522, June.
- Veronika Ročková & Edward I. George, 2014. "EMVS: The EM Approach to Bayesian Variable Selection," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(506), pages 828-846, June.
- John M. Maheu & Stephen Gordon, 2008.
"Learning, forecasting and structural breaks,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
- John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
- John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics.
- Ľluboš Pástor & Robert F. Stambaugh, 2001.
"The Equity Premium and Structural Breaks,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1207-1239, August.
- Lubos Pástor & Robert F. Stambaugh, "undated". "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers 21-98, Wharton School Rodney L. White Center for Financial Research.
- Lubos Pastor & Robert F. Stambaugh, "undated". "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers 11-00, Wharton School Rodney L. White Center for Financial Research.
- Luboš Pástor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," CRSP working papers 519, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," NBER Working Papers 7778, National Bureau of Economic Research, Inc.
- Fenghua Wen & Feng Min & Yue‐Jun Zhang & Can Yang, 2019. "Crude oil price shocks, monetary policy, and China's economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(2), pages 812-827, April.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006.
"Forecasting Time Series Subject to Multiple Structural Breaks,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(4), pages 1057-1084.
- Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers 1196, Institute of Labor Economics (IZA).
- Pesaran, M. Hashem & Timmermann, Allan & Pettenuzzo, Davide, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CEPR Discussion Papers 4636, C.E.P.R. Discussion Papers.
- Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2004. "‘Forecasting Time Series Subject to Multiple Structural Breaks’," Cambridge Working Papers in Economics 0433, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CESifo Working Paper Series 1237, CESifo.
- Garland Durham & John Geweke, 2014. "Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments," Advances in Econometrics, in: Bayesian Model Comparison, volume 34, pages 1-44, Emerald Group Publishing Limited.
- Stock, James H & Watson, Mark W, 1996.
"Evidence on Structural Instability in Macroeconomic Time Series Relations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 11-30, January.
- James H. Stock & Mark W. Watson, 1994. "Evidence on Structural Instability in Macroeconomic Time Series Relations," NBER Technical Working Papers 0164, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 1994. "Evidence on structural instability in macroeconomic times series relations," Working Paper Series, Macroeconomic Issues 94-13, Federal Reserve Bank of Chicago.
- Anirban Bhattacharya & Debdeep Pati & Natesh S. Pillai & David B. Dunson, 2015. "Dirichlet--Laplace Priors for Optimal Shrinkage," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(512), pages 1479-1490, December.
- Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2015.
"The Contribution of Structural Break Models to Forecasting Macroeconomic Series,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 596-620, June.
- Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2011. "The Contribution of Structural Break Models to Forecasting Macroeconomic Series," Working Paper series 38_11, Rimini Centre for Economic Analysis.
- BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen, 2015. "The Contribution of Structural Break Models to Forecating Macroeconomic Series," LIDAM Reprints CORE 2651, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gary Koop & Simon M. Potter, 2007. "Estimation and Forecasting in Models with Multiple Breaks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(3), pages 763-789.
- Giordani, Paolo & Kohn, Robert, 2008.
"Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
- 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).
- Koop, Gary & Korobilis, Dimitris, 2013.
"Large time-varying parameter VARs,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 185-198.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large time-varying parameter VARs," MPRA Paper 38591, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper series 11_12, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2012. "Large time-varying parameter VARs," Working Papers 2012_04, Business School - Economics, University of Glasgow.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large Time-Varying Parameter VARs," SIRE Discussion Papers 2012-14, Scottish Institute for Research in Economics (SIRE).
- Ngai Hang Chan & Chun Yip Yau & Rong-Mao Zhang, 2014. "Group LASSO for Structural Break Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(506), pages 590-599, June.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan, 2016.
"Stochastic Model Specification Search for Time-Varying Parameter VARs,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1638-1665, December.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eric Eisenstat & Joshua C.C. Chan & Rodney Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Working Paper series 44_14, Rimini Centre for Economic Analysis.
- Davis, Richard A. & Lee, Thomas C.M. & Rodriguez-Yam, Gabriel A., 2006. "Structural Break Estimation for Nonstationary Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 223-239, March.
- Jouchi Nakajima & Mike West, 2013. "Bayesian Analysis of Latent Threshold Dynamic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 151-164, April.
- Arnaud Dufays, 2016.
"Evolutionary Sequential Monte Carlo Samplers for Change-Point Models,"
Econometrics, MDPI, vol. 4(1), pages 1-33, March.
- Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1518, CIRPEE.
- Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1508, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
- Edward Herbst & Frank Schorfheide, 2014.
"Sequential Monte Carlo Sampling For Dsge Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1073-1098, November.
- Edward P. Herbst & Frank Schorfheide, 2012. "Sequential Monte Carlo sampling for DSGE models," Working Papers 12-27, Federal Reserve Bank of Philadelphia.
- Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo Sampling for DSGE Models," NBER Working Papers 19152, National Bureau of Economic Research, Inc.
- Edward P. Herbst & Frank Schorfheide, 2013. "Sequential Monte Carlo sampling for DSGE models," Finance and Economics Discussion Series 2013-43, Board of Governors of the Federal Reserve System (U.S.).
- P. Fryzlewicz & S. Subba Rao, 2014. "Multiple-change-point detection for auto-regressive conditional heteroscedastic processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 76(5), pages 903-924, November.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
- Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
- Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud, 2014.
"A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models,"
Journal of Empirical Finance, Elsevier, vol. 29(C), pages 207-229.
- BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud, 2014. "A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models," LIDAM Reprints CORE 2641, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Eo, Yunjong, 2012. "Bayesian Inference about the Types of Structural Breaks When There are Many Breaks," Working Papers 2012-05, University of Sydney, School of Economics.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Schaefer, Kerstin J. & Tuitjer, Leonie & Levin-Keitel, Meike, 2021. "Transport disrupted – Substituting public transport by bike or car under Covid 19," Transportation Research Part A: Policy and Practice, Elsevier, vol. 153(C), pages 202-217.
- Yu Jeffrey Hu & Jeroen Rombouts & Ines Wilms, 2023. "Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms," Papers 2303.01887, arXiv.org, revised May 2024.
- Renata Tavanielli & Márcio Laurini, 2023. "Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market," Mathematics, MDPI, vol. 11(11), pages 1-28, June.
- Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.
- Wang, Chunan & Jiang, Changmin, 2022. "How do pandemics affect intercity air travel? Implications for traffic and environment," Transportation Research Part A: Policy and Practice, Elsevier, vol. 166(C), pages 330-353.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ardia, David & Dufays, Arnaud & Ordás Criado, Carlos, 2023. "Linking Frequentist and Bayesian Change-Point Methods," MPRA Paper 119486, University Library of Munich, Germany.
- Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.
- Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
- Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
- 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.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Gary Koop & Dimitris Korobilis, 2023.
"Bayesian Dynamic Variable Selection In High Dimensions,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1047-1074, August.
- Gary Koop & Dimitris Korobilis, 2018. "Bayesian dynamic variable selection in high dimensions," Papers 1809.03031, arXiv.org, revised May 2020.
- Korobilis, Dimitris & Koop, Gary, 2020. "Bayesian dynamic variable selection in high dimensions," MPRA Paper 100164, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2020. "Bayesian dynamic variable selection in high dimensions," Working Papers 2020_11, Business School - Economics, University of Glasgow.
- Jiawen Xu & Pierre Perron, 2023. "Forecasting in the presence of in-sample and out-of-sample breaks," Empirical Economics, Springer, vol. 64(6), pages 3001-3035, June.
- Jiawen Xu & Pierre Perron, 2015.
"Forecasting in the presence of in and out of sample breaks,"
Boston University - Department of Economics - Working Papers Series
wp2015-012, Boston University - Department of Economics.
- Jiawen Xu & Pierre Perron, 2017. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series WP2018-014, Boston University - Department of Economics, revised Nov 2018.
- Arnaud Dufays & Jeroen V. K. Rombouts, 2019.
"Sparse Change-point HAR Models for Realized Variance,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 857-880, September.
- Arnaud Dufays & Jeroen V.K. Rombouts, 2016. "Sparse Change-point HAR Models for Realized Variance," Cahiers de recherche 1607, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Jiawen Xu & Pierre Perron, 2015.
"Forecasting in the presence of in and out of sample breaks,"
Boston University - Department of Economics - Working Papers Series
wp2015-012, Boston University - Department of Economics.
- Jiawen Xu & Pierre Perron, 2017. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series WP2017-004, Boston University - Department of Economics.
- John M. Maheu & Stephen Gordon, 2008.
"Learning, forecasting and structural breaks,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
- John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
- John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics.
- Korobilis, Dimitris & Koop, Gary, 2018.
"Variational Bayes inference in high-dimensional time-varying parameter models,"
Essex Finance Centre Working Papers
22665, University of Essex, Essex Business School.
- Gary Koop & Dimitris Korobilis, 2018. "Variational Bayes inference in high-dimensional time-varying parameter models," Working Paper series 18-31, Rimini Centre for Economic Analysis.
- Koop, Gary & Korobilis, Dimitris, 2018. "Variational Bayes inference in high-dimensional time-varying parameter models," MPRA Paper 87972, University Library of Munich, Germany.
- Fisher, Mark & Jensen, Mark J., 2019.
"Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
- Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," Working Paper series 18-12, Rimini Centre for Economic Analysis.
- Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," FRB Atlanta Working Paper 2018-2, Federal Reserve Bank of Atlanta.
- Adam Check & Jeremy Piger, 2021. "Structural Breaks in U.S. Macroeconomic Time Series: A Bayesian Model Averaging Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(8), pages 1999-2036, December.
- 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.
- Gary Koop & Simon M. Potter, 2009.
"Prior Elicitation In Multiple Change-Point Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 751-772, August.
- Gary Koop & Simon M. Potter, 2004. "Prior elicitation in multiple change-point models," Staff Reports 197, Federal Reserve Bank of New York.
- Gary Koop & Simon M. Potter, 2007. "Prior Elicitation in Multiple Change-point Models," Working Paper series 17_07, Rimini Centre for Economic Analysis.
- Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics 04/26, Division of Economics, School of Business, University of Leicester.
- Dimitris Korobilis & Kenichi Shimizu, 2022.
"Bayesian Approaches to Shrinkage and Sparse Estimation,"
Foundations and Trends(R) in Econometrics, now publishers, vol. 11(4), pages 230-354, June.
- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Papers 2021_19, Business School - Economics, University of Glasgow.
- Dimitris Korobilis & Kenichi Shimizu, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," Papers 2112.11751, arXiv.org.
- Dimitris Korobilis & Kenichi Shimizu, 2022. "Bayesian Approaches to Shrinkage and Sparse Estimation," Working Paper series 22-02, Rimini Centre for Economic Analysis.
- Korobilis, Dimitris & Shimizu, Kenichi, 2021. "Bayesian Approaches to Shrinkage and Sparse Estimation," MPRA Paper 111631, University Library of Munich, Germany.
- Michael L. Polemis & Thanasis Stengos, 2019.
"Does competition prevent industrial pollution? Evidence from a panel threshold model,"
Business Strategy and the Environment, Wiley Blackwell, vol. 28(1), pages 98-110, January.
- Michael L. Polemis & Thanasis Stengos, 2017. "Does Competition Prevent Industrial Pollution? Evidence from a Panel Threshold Model," Working Paper series 17-07, Rimini Centre for Economic Analysis.
- Polemis, Michael & Stengos, Thanasis, 2017. "Does Competition Prevent Industrial Pollution? Evidence from a Panel Threshold Model," MPRA Paper 85177, University Library of Munich, Germany.
More about this item
Keywords
Shrinkage prior; Structural break model; Relevant parameter change; Bayesian inference;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:217:y:2020:i:1:p:46-78. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.