We develop a Bayesian test for structural change at an unknown changepoint in Markov-switching models. Unlike the usual Bayesian treatment of the unknown changepoint problem in the literature, we cast the problem into a `model selection' framework. This is done by adopting a prior for the shift...

Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the...

Using Bayesian tests for a structural break at an unknown break date, we search for a volatility reduction within the post-war sample for the growth rates of U.S. aggregate and disaggregate real GDP. We find that the growth rate of aggregate real GDP has been less volatile since the early...