A Time Series Model of Multiple Structural changes in Level, Trend and Variance
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References listed on IDEAS
- Engel, Charles & Kim, Chang-Jin, 1999.
"The Long-Run U.S./U.K. Real Exchange Rate,"
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More about this item
KeywordsBIC; Gibbs sampling; multiple structural changes; posterior odds ratio;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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