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Identifier to cite or link to this item: https://hdl.handle.net/10086/16988

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Title
Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks
Creator
Creator Name
Sugita, Katsuhiro Sugita, Katsuhiro
杉田, 勝弘 杉田, 勝弘
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
Bayesian inference
Structural break
Cointegration
Bayes factor
JEL
C11
C12
C32
Abstract (distribution restricted)
This paper considers a vector autoregressive model or a vector error correction model with multiple structural breaks in any subset of parameters, using a Bayesian approach with Markov chain Monte Carlo simulation technique. The number of structural breaks is determined as a sort of model selection by the posterior odds. For a cointegrated model, cointegrating rank is also allowed to change with breaks. Bayesian approach by Strachan (Journal of Business and Economic Statistics 21 (2003) 185) and Strachan and Inder (Journal of Econometrics 123 (2004) 307) are applied to estimate the cointegrating vectors. As empirical examples, we investigate structural changes in the predictive power of the yield curve and the US term structure of interest rates. We find strong evidence of three structural changes in both applications.
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2006-11
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion papers ; No. 2006-14
Number of Pages
58
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/16988