Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
Hultblad Brigitta () and
Sune Karlsson ()
Additional contact information
Hultblad Brigitta: Statistics Sweden
Studies in Nonlinear Dynamics & Econometrics, 2008, vol. 12, issue 3, 1-29
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 data and a simulation study.
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://www.degruyter.com/view/j/snde.2008.12.3/sn ... .1519.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
Working Paper: Bayesian simultaneous determination of structural breaks and lag lengths (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:bpj:sndecm:v:12:y:2008:i:3:n:4
Ordering information: This journal article can be ordered from
Access Statistics for this article
Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach
More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Series data maintained by Peter Golla ().