Bayesian Model Averaging and Identification of Structural Breaks in Time Series

Iain Fraser, Kelvin Balcombe and Abhijit Sharma

MPRA Paper from University Library of Munich, Germany

Abstract: Bayesian model averaging is used for testing for multiple break points in uni- variate series using conjugate normal-gamma priors. This approach can test for the number of structural breaks and produce posterior probabilities for a break at each point in time. Results are averaged over speciÖcations including: station- ary; stationary around trend; and, unit root models, each containing di§ erent types and numbers of breaks and di§ erent lag lengths. The procedures are used to test for structural breaks on 14 annual macroeconomic series and 11 natural resource price series. The results indicate that there are structural breaks in al l of the natural resource series and most of the macroeconomic series. Many of the series had multiple breaks. Our Öndings regarding the existence of unit roots, having al lowed for structural breaks in the data, are largely consistent with previous work.

Keywords: Bayesian Model Averaging; Structural Breaks; Unit Root; Macro- economic Data; Natural Resource data (search for similar items in EconPapers)
JEL-codes: C01 C11 (search for similar items in EconPapers)
Date: 2007-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Related works:
Journal Article: Bayesian model averaging and identification of structural breaks in time series (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:8676

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