Relevant parameter changes in structural break models

DOI10.1016/j.jeconom.2019.10.008zbMath1456.62187OpenAlexW2998034871WikidataQ126468075 ScholiaQ126468075MaRDI QIDQ2190210

Arnaud Dufays, Jeroen V. K. Rombouts

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.10.008

zbMATH Keywords

Bayesian inferenceshrinkage priorrelevant parameter changestructural break model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

Related Items

Modeling time-varying parameters using artificial neural networks: a GARCH illustration

Uses Software

• t-walk
• Rtwalk
• emcee
• basta
• EMVS

Cites Work

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