Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths

DOI10.2202/1558-3708.1519MaRDI QIDQ3574725zbMATH OpenOpenAlexFDO

Authors Brigitta Hultblad, Sune Karlsson

Publication date 2 July 2010

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://swopec.hhs.se/hastef/papers/hastef0630.rev.pdf

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(2)

• Bayesian methods for change-point detection in long-range dependent processes
• Bayesian analysis of structural change in a distributed lag model (Koyck scheme)

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