Inference and prediction in a multiple-structural-break model
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Cites work
- scientific article; zbMATH DE number 3742453 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
- A unified approach to nonlinearity, structural change, and outliers
- Are apparent findings of nonlinearity due to structural instability in economic time series?
- BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
- Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Contemporary Bayesian Econometrics and Statistics
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- End-of-Sample Instability Tests
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimation and Forecasting in Models with Multiple Breaks
- Estimation and comparison of multiple change-point models
- Estimation in the Presence of Stochastic Parameter Variation
- Forecasting Time Series Subject to Multiple Structural Breaks
- Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
- Getting It Right
- Interpretation and inference in mixture models: simple MCMC works
- Predictive tests for structural change with unknown breakpoint
- Tests for Parameter Instability and Structural Change With Unknown Change Point
Cited in
(14)- \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation?
- Dirichlet process hidden Markov multiple change-point model
- Forecasting Time Series Subject to Multiple Structural Breaks
- Identification of business cycles and the Great Moderation in the post-war U.S. economy
- Semiparametric multivariate and multiple change-point modeling
- A flexible approach to parametric inference in nonlinear and time varying time series models
- Markov breaks in regression models
- Achieving shrinkage in a time-varying parameter model framework
- Relevant parameter changes in structural break models
- Block bootstrapping for a panel mean break test
- Clustering Multiple Time Series with Structural Breaks
- Sparse change-point HAR models for realized variance
- Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
- Estimation and Forecasting in Models with Multiple Breaks
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