EconPapers    
Economics at your fingertips  
 

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

Sjoerd van den Hauwe, Richard Paap and Dick van Dijk ()
Additional contact information
Sjoerd van den Hauwe: Erasmus University Rotterdam

No 11-023/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior distribution. Modeling boils down to the choice of a parametric likelihood specification and a baseline prior with the proper support for the parameters. The approach accounts in a natural way for potential out-of-sample breaks where the number of breaks is stochastic. Posterior inference involves simple computations that are less demanding than existing methods. The approach is illustrated on nonlinear discrete time series models and models with restrictions on the parameter space.

Keywords: Structural breaks; Bayesian analysis; forecasting; MCMC methods; nonlinear time series (search for similar items in EconPapers)
JEL-codes: C11 C22 C51 C53 C63 (search for similar items in EconPapers)
Date: 2011-02-08
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://papers.tinbergen.nl/11023.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20110023

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Series data maintained by Tinbergen Office +31 (0)10-4088900 ().

 
Page updated 2017-10-29
Handle: RePEc:tin:wpaper:20110023