Structural breaks, model uncertainty and factor selection

DOI10.1016/J.JECONOM.2025.106067MaRDI QIDQ7296549zbMATH OpenFDO

Authors Siddhartha Chib, Simon Smith

Publication date 14 July 2026

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106067

Mathematics Subject Classification ID

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

Cites work

• Bayesian Estimation and Comparison of Moment Condition Models
• Estimation and comparison of multiple change-point models
• Marginal Likelihood from the Gibbs Output
• Testing for structural breaks in factor copula models
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework

Cited in

(1)

• Bayesian methods in economics and finance: a unified survey and taxonomy

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