Bayesian Analysis

Comment on Article by Wyse et al.

Gary Koop

Full-text: Open access

Article information

Source
Bayesian Anal., Volume 6, Number 4 (2011), 533-540.

Dates
First available in Project Euclid: 13 June 2012

Permanent link to this document
https://projecteuclid.org/euclid.ba/1339616534

Digital Object Identifier
doi:10.1214/11-BA620B

Zentralblatt MATH identifier
1330.62140

Citation

Koop, Gary. Comment on Article by Wyse et al. Bayesian Anal. 6 (2011), no. 4, 533--540. doi:10.1214/11-BA620B. https://projecteuclid.org/euclid.ba/1339616534


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References

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  • Bauwens, L., Koop, G., Korobilis, D., and Rombouts, J. (2011). "A comparison of forecasting procedures for macroeconomic series: The contribution of structural break models." Discussion paper 3, Centre for Operations Research and Econometrics.
  • Clements, M. and Hendry, D. (1998). Forecasting Economic Time Series. Cambridge University Press: Cambridge.
  • Fearnhead, P. (2006). "Exact and efficient Bayesian inference for multiple changepoint problems." Statistics and Computing, 16: 203–213.
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  • Jochmann, M. (2010). "Modeling U.S. inflation dynamics: A Bayesian nonparametric approach." Working paper 03_10, Rimini Centre for Economic Analysis.
  • Koop, G. and Potter, S. (2007). "Estimation and forecasting in models with multiple breaks." Review of Economic Studies, 74: 763–789.
  • –- (2009). "Prior elicitation in multiple change-point models." International Economic Review, 50: 751–772.
  • Maheu, J. and Gordon, S. (2008). "Forecasting, learning and structural breaks." Journal of Applied Econometrics, 23: 553–583.
  • Pastor, L. and Stambaugh, R. (2001). "The equity premium and structural breaks." Journal of Finance, 56: 1207–1239.
  • Pesaran, M., Pettenuzzo, D., and Timmermann, A. (2006). "Forecasting time series subject to multiple structural breaks." Review of Economic Studies, 73: 1057–1084.
  • Song, Y. (2011). "An efficient approach to estimate and forecast in the presence of an unknown number of change-points." Chapter 2 of PhD dissertation, University of Toronto.
  • –- (2011). "Modeling regime switching and structural breaks with an infinite dimension Markov switching model." Chapter 3 of PhD dissertation, University of Toronto.
  • Stock, J. and Watson, M. (1996). "Evidence on structural instability in macroeconomic time series relations." Journal of Business and Economic Statistics, 14: 11–30.

See also

  • Jason Wyse, Nial Friel, Håvard Rue. Approximate simulation-free Bayesian inference for multiple changepoint models with dependence within segments. Bayesian Anal., Vol. 6, Iss. 4 (2011), 501-528.
  • Jason Wyse, Nial Friel, Håvard Rue. Rejoinder: "Comment on Article by Wyse et al.". Bayesian Anal., Vol. 6, Iss. 4 (2011), 541-546.