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Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points

Koop, Gary; Potter, Simon M. - Department of Economics, Leicester University - 2004

This paper develops a new approach to change-point modeling that allows the number of change-points in the observed sample to be unknown. The model we develop assumes regime durations have a Poisson distribution. It approximately nests the two most common approaches: the time varying parameter...

Persistent link: https://www.econbiz.de/10005561905

Bayesian Inference in a Cointegrating Panel Data Model

Strachan, Rodney; Koop, Gary; Leon-Gonzalez, Roberto - Department of Economics, Leicester University - 2006

This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross …

Persistent link: https://www.econbiz.de/10005385058

Nonlinear Impacts of International Business Cycles on the UK — a Bayesian Smooth Transition VAR

Gefang, Deborah; Strachan, Rodney - Department of Economics, Leicester University - 2008

Employing a Bayesian approach, we investigate the impact of international business cycles on the UK economy in the …

Persistent link: https://www.econbiz.de/10005422700

Bayesian Analysis of Deterministic Time Trend and Changes in Persistence Using a Generalised Stochastic Unit Root Model

Yang, Fuyu - Department of Economics, Leicester University - 2007

This paper makes use of the novel Generalized Stochastic Unit Root (GSTUR) model, Bayesian model estimation and model …

Persistent link: https://www.econbiz.de/10005230649

The Vector Floor and Ceiling Model

Koop, Gary; Potter, Simon - Department of Economics, Leicester University - 2000

Floor and Ceiling model. Bayesian and classical methods for estimation and testing are developed and compared in the context … of an application involving U.S. macroeconomic data. In terms of statistical significance both classical and Bayesian …

Persistent link: https://www.econbiz.de/10005385072