Estimation and Forecasting in Models with Multiple Breaks

DOI10.1111/J.1467-937X.2007.00436.XMaRDI QIDQ5755044zbMATH OpenOpenAlexFDO

Authors Gary Koop, Simon Potter

Publication date 20 August 2007

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-937x.2007.00436.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09)

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Cited in

(39)

• High-Dimensional Macroeconomic Forecasting Using Message Passing Algorithms
• Forecasting inflation using time-varying Bayesian model averaging
• Dirichlet process hidden Markov multiple change-point model
• Optimal forecasts in the presence of structural breaks
• Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
• Modeling structural breaks in economic relationships using large shocks
• Sequential Bayesian inference for vector autoregressions with stochastic volatility
• Modelling breaks and clusters in the steady states of macroeconomic variables
• Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
• Modeling U.S. inflation dynamics: a Bayesian nonparametric approach
• Statistical analysis of the non-stationary binomial AR(1) model with change point
• Markov breaks in regression models
• Analyzing cross-validation for forecasting with structural instability
• An exact approach to Bayesian sequential change point detection
• Variable selection in panel models with breaks
• Bayesian semi-parametric analysis of Poisson change-point regression models: application to policy-making in Cali, Colombia
• Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
• The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
• The macroeconomic and fiscal implications of inflation forecast errors
• On the evolution of the monetary policy transmission mechanism
• Structural Breaks in Grouped Heterogeneity
• A New Approach to Dating the Reference Cycle
• Learning and Index Option Returns
• Structural evolution of the postwar U.S. economy
• Classification in segmented regression problems
• Bayesian model selection for unit root testing with multiple structural breaks
• Multi‐step forecasting in the presence of breaks
• BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS
• Moving average stochastic volatility models with application to inflation forecast
• Sparse change-point HAR models for realized variance
• \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation?
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Forecasting Time Series Subject to Multiple Structural Breaks
• Relevant parameter changes in structural break models
• Inference and prediction in a multiple-structural-break model
• Structural changes in inflation dynamics: multiple breaks at different dates for different parameters
• A flexible approach to parametric inference in nonlinear and time varying time series models
• Estimating multiple breaks in nonstationary autoregressive models
• Clustering Multiple Time Series with Structural Breaks

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