Bayesian simultaneous determination of structural breaks and lag lengths

Brigitta Hultblad () and Sune Karlsson ()
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Brigitta Hultblad: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden

No 630, Working Paper Series in Economics and Finance from Stockholm School of Economics

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 (search for similar items in EconPapers)
JEL-codes: C11 C15 C22 C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: Written 2006-06-08
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Forthcoming in Studies in Nonlinear Dynamics & Econometrics.

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http://swopec.hhs.se/hastef/papers/hastef0630.rev.pdf (application/pdf)
http://swopec.hhs.se/hastef/papers/hastef0630.sim.pdf Simulation results (application/pdf)

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