oru.sePublikationer
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Bayesian simultaneous determination of structural breaks and lag lengths
Statistics Sweden.
Örebro University, Swedish Business School at Örebro University. (Statistics)ORCID iD: 0000-0003-0203-4688
2008 (English)In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, Vol. 12, no 3, Article 4- p.Article in journal (Refereed) Published
Abstract [en]

The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the number of structural breaks and vice versa we avoid some common pitfalls and are able to draw more robust conclusions. The approach is illustrated using both real data and a simulation study.

Place, publisher, year, edition, pages
2008. Vol. 12, no 3, Article 4- p.
Keyword [en]
econometrics
National Category
Economics Probability Theory and Statistics
Research subject
Economics
Identifiers
URN: urn:nbn:se:oru:diva-5674OAI: oai:DiVA.org:oru-5674DiVA: diva2:173831
Available from: 2009-02-17 Created: 2009-02-17 Last updated: 2016-08-10Bibliographically approved

Open Access in DiVA

No full text

Other links

http://www.bepress.com/snde/vol12/iss3/art4

Search in DiVA

By author/editor
Karlsson, Sune
By organisation
Swedish Business School at Örebro University
In the same journal
Studies in Nonlinear Dynamics and Econometrics
EconomicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

Total: 311 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf