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Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
Fisher, Mark; Jensen, Mark J. - 2018
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/10012030268
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Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
Fisher, Mark; Jensen, Mark J. - In: Journal of econometrics 210 (2019) 1, pp. 187-202
Persistent link: https://www.econbiz.de/10012303393
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Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
Fisher, Mark; Jensen, Mark J. - 2018
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/10011798456