Abstract

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 number of structural breaks and vice versa we avoid some common pitfalls and are able to draw more robust conclusions. The approach is illustrated using both real data and a simulation study.

Recommended Citation

Brigitta Hultblad and Sune Karlsson (2008) "Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths", Studies in Nonlinear Dynamics & Econometrics: Vol. 12: No. 3, Article 4.
http://www.bepress.com/snde/vol12/iss3/art4

Related Files

hultblad_datacode.zip (32 kB)
Data and code