Inference and prediction in a multiple-structural-break model
- Publication Type:
- Journal Article
- Journal of Econometrics, 2011, 163 (2), pp. 172 - 185
- Issue Date:
Copyright Clearance Process
- Recently Added
- In Progress
- Closed Access
This item is closed access and not available.
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. First, the number of regimes is not fixed but is treated as a random variable. Second, the model adopts a hierarchical prior for regime coefficients, which allows for the coefficients of one regime to contain information about coefficients of other regimes. Third, the regime coefficients can be integrated analytically in the posterior density; as a consequence the posterior simulator is fast and reliable. An application to US real GDP quarterly growth rates links groups of regimes to specific historical periods and provides forecasts of future growth rates. © 2011 Elsevier B.V. All rights reserved.
Please use this identifier to cite or link to this item: