Bayesian analysis of a vector autoregressive model with multiple structural breaks

Economics Bulletin

Volumn 3, Issue 22, 2008, Pages

  Sugita, Katsuhiro ^a  

^a UNIVERSITY OF THE RYUKYUS   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 45449087566     PISSN: None     EISSN: 15452921     Source Type: Journal    
DOI: None     Document Type: Article

References (8)

1. Bauwens, L., Lubrano, M., and J-F. Richard (1999) Bayesian Inference in Dynamic Econometric Models, Oxford University Press: Oxford.
2. Chib, S. (1995) "Marginal Likelihood from the Gibbs Output" Journal of the American Statistical Association 90, 432, Theory and Methods, 1313-1321.
3. Doornik, J.A. (1998) OX An Object-Oriented Matrix programming Language, Timberlake Consultants Press: London.
4. Gelfand, A.E., and D.K.Dey (1994) "Bayesian Model Choice: Asymptotics and Exacrt Calculations" Journal of the Royal Statistical Society Ser. B, 56, 501-514.
5. Inclan, C. (1993) "Detection of Multiple Structural Changes of Variance Using Posterior Odds" Journal of Business and Economic Statistics 11, 289-300.
6. Kadiyala, K.R. and S. Karlsson (1997) "Numerical Methods for Estimation and Inference in a Bayesian VAR-Models" Journal of Applied Econometrics 12, 99-132.
7. Litterman, R.B. (1980) "A Bayesian Procedure for Forecasting with Vector Autoregressions", mimeo, Massachusetts Institute of Technology.
8. Wang, J., and E. Zivot (2000) "A Bayesian Time Series Model of Multiple Structural Changes in Level" Trend, and Variance, Journal of Business and Economic Statistics 18 3, 374-386.