Hultblad, Brigitta; Karlsson, Sune - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1519-1519
The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the...
