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  1. Forecasting and estimating multiple change-point models with an unknown number of change points
    Published: Dec.2004
    Publisher:  Federal Reserve Bank of New York, New York, NY

    "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... more

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    W 1140 (196)
    No inter-library loan

     

    "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

     

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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/60650
    Edition: [Elektronische Ressource]
    Series: Staff reports / Federal Reserve Bank of New York ; 196
    Subjects: Strukturbruch; Prognoseverfahren; Markov-Kette; Schätzung; Bruttoinlandsprodukt; Inflation; USA; Statistische Verteilung; Economic forecasting; Point processes; Monte Carlo method
    Scope: Online Ressource, 33 p, text, ill
    Notes:

    Title from PDF file as viewed on 1/11/2005

    Includes bibliographical references

    Also available in print