Inference and prediction in a multiple-structural-break model

Elsevier Science Sa
Publication Type:
Journal Article
Journal Of Econometrics, 2011, 163 (2), pp. 172 - 185
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This paper develops a new Bayesian approach to structural break modeling. The focuses of the approach are the modeling of in-sample structural breaks and forecasting time series allowing out-of-sample breaks. The model has several desirable features. Fir
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