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Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors

Fisher, Mark - 2020

Change point models using hierarchical priors share in the information of each regime when estimating the parameter values of a regime. Because of this sharing, hierarchical priors have been very successful when estimating the parameter values of short-lived regimes and predicting the...

Persistent link: https://www.econbiz.de/10012852769