Asymptotic properties of Bayesian inference in linear regression with a structural break

DOI10.1016/j.jeconom.2022.03.006arXiv2201.07319OpenAlexW4226335856MaRDI QIDQ6163276

Kenichi Shimizu

Publication date: 9 June 2023

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

Full work available at URL: https://arxiv.org/abs/2201.07319

zbMATH Keywords

Bernstein-von Mises theoremstructural breakmodel averagingsensitivity check

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Bayesian averaging, prediction and nonnested model selection
• Estimation and comparison of multiple change-point models
• Asymptotic behaviour of Bayes estimates and posterior distributions in multiparameter nonregular cases
• Continuous record Laplace-based inference about the break date in structural change models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Sample Splitting and Threshold Estimation
• Likelihood-ratio-based confidence sets for the timing of structural breaks
• Estimating and Testing Structural Changes in Multivariate Regressions

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