Bayesian simultaneous determination of structural breaks and lag lengths

Studies in Nonlinear Dynamics and Econometrics

Volumn 12, Issue 3, 2008, Pages

  Hultblad, Brigitta ^a   Karlsson, Sune ^b  

^a STATISTICS SWEDEN   (Sweden)

^b ÖREBRO UNIVERSITY   (Sweden)

Author keywords

Markov chain Monte Carlo; Model uncertainty; Regime shifts

Indexed keywords

EID: 55549110926     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1519     Document Type: Article

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