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Bayesian simultaneous determination of structural breaks and lag lengths

Author

Listed:
  • Hultblad, Brigitta

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Karlsson, Sune

    (Dept. of Economics, Statistics and Informatics)

Abstract

The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the number of structural breaks and vice versa we avoid some common pitfalls and are able to draw more robust conclusions. The approach is illustrated using both real and simulated data.

Suggested Citation

  • Hultblad, Brigitta & Karlsson, Sune, 2006. "Bayesian simultaneous determination of structural breaks and lag lengths," SSE/EFI Working Paper Series in Economics and Finance 630, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0630
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    More about this item

    Keywords

    Regime shifts; Model uncertainty; Model averaging; Markov chain Monte Carlo; Real interest rate;
    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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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