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...

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...

The relative importance of permanent (trend) versus cyclical shocks to GDP has been a central issue in macroeconomics, since the work of Nelson and Plosser (1982) and Morley et al. (2003) found large trend shocks. In contrast, Perron and Wada (2009) argued for a one time change in the mean...

The relative importance of permanent versus cyclical shocks to GDP has been found to depend on the presence or absence of a single break in mean growth. We estimate unobserved components models conditional on a trend break having occurred in any specified quarter and use the Bayesian model...