MARC Record from Scriblio

LEADER: 02242cam 22003257a 4500
001 2005615319
003 DLC
005 20050111142204.0
007 cr |||||||||||
008 050111s2004 nyu sb f000 0 eng
010 $a 2005615319
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aKoop, Gary.
245 10 $aForecasting and estimating multiple change-point models with an unknown number of change points$h[electronic resource] /$cGary M. Koop and Simon M. Potter.
260 $a[New York, N.Y.] :$bFederal Reserve Bank of New York,$c[2004]
490 1 $aStaff reports ;$vno. 196
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/11/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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.
650 0 $aEconomic forecasting$xEconometric models.
650 0 $aPoint processes.
650 0 $aMonte Carlo method.
700 1 $aPotter, Simon M.
710 2 $aFederal Reserve Bank of New York.
830 0 $aStaff reports (Federal Reserve Bank of New York : Online) ;$vno. 196.
856 40 $uhttp://www.ny.frb.org/research/staff_reports/sr196.html