Search Results - subject:"change-point models"

Evolutionary sequential Monte Carlo samplers for change-point models

Dufays, Arnaud - In: Econometrics 4 (2016) 1, pp. 1-33

estimating change-point models. As an example, we compare several change-point GARCH models through their marginal log …

Persistent link: https://www.econbiz.de/10011755319

Evolutionary sequential Monte Carlo samplers for change-point models

Dufays, Arnaud - In: Econometrics : open access journal 4 (2016) 1, pp. 1-33

estimating change-point models. As an example, we compare several change-point GARCH models through their marginal log …

Persistent link: https://www.econbiz.de/10011504888

Forecasting macroeconomic variables under model instability

Pettenuzzo, Davide; Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 183-201

Persistent link: https://www.econbiz.de/10011704162

Change-Points in U.S. Business Cycle Durations

Davig, Troy - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 2, pp. 1373-1373

This paper develops a change-point model that can endogenously detect a structural shift in a time series of durations. The model is applied to NBER data on U.S. business cycle durations for expansions and contractions. There are two primary results. First, the change-point model endogenously...

Persistent link: https://www.econbiz.de/10005751408

Dynamic Detection of Change Points in Long Time Series

Chopin, Nicolas - In: Annals of the Institute of Statistical Mathematics 59 (2007) 2, pp. 349-366

Persistent link: https://www.econbiz.de/10005616195

A Bayesian methodology for simultaneously detecting and estimating regime change points and variable selection in multiple regression models for marketing research

Fong, Duncan; DeSarbo, Wayne - In: Quantitative Marketing and Economics 5 (2007) 4, pp. 427-453

Persistent link: https://www.econbiz.de/10005701830

Global and local covert visual attention: Evidence from a bayesian hidden markov model

Liechty, John; Pieters, Rik; Wedel, Michel - In: Psychometrika 68 (2003) 4, pp. 519-541

Persistent link: https://www.econbiz.de/10005603084