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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10008838634
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Forecasting Interest Rates with Shifting Endpoints
Dijk, Dick van; Koopman, Siem Jan; Wel, Michel van der; … - Tinbergen Instituut - 2012
"><I>Journal of Applied Econometrics</I></A>, 2014, 29, pages 693-712.<P> Many economic studies on inflation forecasting have found … existing studies on interest rate forecasting either treat yields as being stationary, without any shifting endpoints, or treat … yields as a random walk process. In this study we consider the problem of forecasting the term structure of interest rates …
Persistent link: https://www.econbiz.de/10011257019
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011257521