Inference and prediction in a multiple-structural-break model
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Publication:737962
DOI10.1016/J.JECONOM.2011.03.005zbMATH Open1441.62701OpenAlexW2032545574MaRDI QIDQ737962FDOQ737962
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.03.005
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Cites Work
- Interpretation and inference in mixture models: simple MCMC works
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Estimation and comparison of multiple change-point models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Title not available (Why is that?)
- Estimating and Testing Linear Models with Multiple Structural Changes
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Contemporary Bayesian Econometrics and Statistics
- Predictive tests for structural change with unknown breakpoint
- Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
- A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
- Forecasting Time Series Subject to Multiple Structural Breaks
- Estimation in the Presence of Stochastic Parameter Variation
- Getting It Right
- Estimation and Forecasting in Models with Multiple Breaks
- Are apparent findings of nonlinearity due to structural instability in economic time series?
- A unified approach to nonlinearity, structural change, and outliers
- BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- End-of-Sample Instability Tests
- Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
Cited In (12)
- Dirichlet process hidden Markov multiple change-point model
- Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
- Estimation and Forecasting in Models with Multiple Breaks
- Semiparametric multivariate and multiple change-point modeling
- Block bootstrapping for a panel mean break test
- Sparse Change-point HAR Models for Realized Variance
- Achieving shrinkage in a time-varying parameter model framework
- Identification of business cycles and the Great Moderation in the post-war U.S. economy
- \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation?
- Forecasting Time Series Subject to Multiple Structural Breaks
- Relevant parameter changes in structural break models
- Clustering Multiple Time Series with Structural Breaks
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