Asymptotic properties of Bayesian inference in linear regression with a structural break
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- Shimizu, Kenichi, 2023. "Asymptotic properties of Bayesian inference in linear regression with a structural break," Journal of Econometrics, Elsevier, vol. 235(1), pages 202-219.
- Kenichi Shimizu, 2022. "Asymptotic properties of Bayesian inference in linear regression with a structural break," Papers 2201.07319, arXiv.org.
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Cited by:
- Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
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More about this item
Keywords
Structural break; Bernstein-von Mises theorem; Sensitivity check; Model averaging;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-02-21 (Econometrics)
- NEP-ETS-2022-02-21 (Econometric Time Series)
- NEP-ORE-2022-02-21 (Operations Research)
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