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"This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter model with a change point every period and the change-point model with a small number of regimes. We focus on the construction of reasonable hierarchical priors both for regime durations and for the parameters that characterize each regime. A Markov Chain Monte Carlo posterior sampler is constructed to estimate a change-point model for conditional means and variances. We find that our techniques work well in an empirical exercise involving U.S. inflation and GDP growth. Empirical results suggest that the number of change points is larger than previously estimated in these series and the implied model is similar to a time-varying parameter model with stochastic volatility"--Federal Reserve Bank of New York web site.
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Forecasting and estimating multiple change-point models with an unknown number of change points
2004, Federal Reserve Bank of New York
Electronic resource
in English
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Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 1/11/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created April 1, 2008
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December 13, 2020 | Edited by MARC Bot | import existing book |
July 31, 2012 | Edited by VacuumBot | Updated format '[electronic resource] /' to 'Electronic resource' |
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October 31, 2008 | Edited by ImportBot | add URIs from original MARC record |
April 1, 2008 | Created by an anonymous user | Imported from Scriblio MARC record |