Inference and prediction in a multiple-structural-break model

Author:

Geweke John,Jiang Yu

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference38 articles.

1. Tests for parameter instability and structural change with unknown change point;Andrews;Econometrica,1993

2. End-of-sample instability tests;Andrews;Econometrica,2003

3. Regime switches in interest rates;Ang;Journal of Business and Economic Statistics,2002

4. Estimating and testing linear models with multiple structural changes;Bai;Econometrica,1998

5. Computation and analysis of multiple structural change models;Bai;Journal of Applied Econometrics,2003

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1. Linking Frequentist and Bayesian Change-Point Methods;Journal of Business & Economic Statistics;2023-12-15

2. Sparse change‐point VAR models;Journal of Applied Econometrics;2021-08-19

3. Structural Breaks in U.S. Macroeconomic Time Series: A Bayesian Model Averaging Approach;Journal of Money, Credit and Banking;2021-05-28

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5. Relevant parameter changes in structural break models;Journal of Econometrics;2020-07

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