SSE/EFI Working Paper Series in Economics and Finance
No 630:
Bayesian simultaneous determination of structural breaks and lag lengths
Brigitta Hultblad ()
and Sune Karlsson ()
Abstract: The detection of structural change and determination of
lag lengths are long-standing issues in time series analysis. This paper
demonstrates how these can be successfully married in a Bayesian analysis.
By taking account of the inherent uncertainty about the lag length when
deciding on the number of structural breaks and vice versa we avoid some
common pitfalls and are able to draw more robust conclusions. The approach
is illustrated using both real and simulated data.
Keywords: Regime shifts; Model uncertainty; Model averaging; Markov chain Monte Carlo; Real interest rate; (follow links to similar papers)
JEL-Codes: C11; C15; C22; C51; (follow links to similar papers)
20 pages, June 8, 2006
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- This paper is forthcoming as:
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Hultblad, Brigitta and Sune Karlsson, 'Bayesian simultaneous determination of structural breaks and lag lengths', Studies in Nonlinear Dynamics & Econometrics.
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