Forecasting and Estimating Multiple Change-Point Models with an Unknown Number of Change Points

By Gary Koop, S. Potter. 2004

51 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/eb872079058907d1be0b8d8bd02bc9843f186b87

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In Economics and Econometrics

Citations in the corpus

Bayesian Online Changepoint Detection (2007, methodology): “As an online and oﬄine signal processing tool, it has proven to be useful in applications such as process control [1], EEG analysis [5, 2, 17], DNA segmentation [6], econometrics [7, 18], and disease demographics [9].”
Efficient Tests for General Persistent Time Variation in Regression Coefficients (2006, background): “Chib (1998), Koop and Potter (2004), and Giordani, Kohn and van Dijk (2005) employ Markov Chain Monte Carlo methods to overcome computational challenges.”
Learning, Structural Instability, and Present Value Calculations (2007, unknown): “h=1 e−h ln(1+r)+hμ̄π [Mε(σ)] h ) , (19)”
SMC2: an efficient algorithm for sequential analysis of state space models (2011, methodology): “s-of-t diagnostics based on prediction residuals, arXiv:1101.1528v3 [stat.CO] 27 Jan 2012 2 Chopin et al. which are popular for instance in Econometrics; see e.g. Section 4.3 of Kim et al. (1998) or Koop and Potter (2007). Furthermore, we shall see that recursive exploration up to time t= Tmay be co”
Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models (2008, unknown): “Even though they integrated over the number of breaks M − 1 by computing the marginal likelihood for M = 0,1, . . . ,Mmax, Koop and Potter (2004a) pointed out that there are several drawbacks to this strategy, besides the large computational costs.”
Detecting and Predicting Forecast Breakdowns (2009, methodology): “This relates our approach to that in Pesaran, Pettenuzzo and Timmermann (2006) and Koop and Potter (2007), who model breaks in parameters as functions of a latent variable.”