Forecasting and estimating multiple change-point models   with an unknown number of change points
By: Gary M. Koop and Simon M. Potter.
Contributors: Potter, Simon M.; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 196; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 196.
Publisher: Federal Reserve Bank of New York
Published: 2004
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Economic forecasting -- Econometric models.; Point processes.; Monte Carlo method.
Description: "This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample.  Our model assumes that regime durations have a Poisson distribution.  The model approximately nests the two most common approaches: the time-varying parameter model with a change point every period and the change-point model with a small number of regimes.  We focus on the construction of reasonable hierarchical priors both for regime durations and for the parameters that characterize each regime.  A Markov Chain Monte Carlo posterior sampler is constructed to estimate a change-point model for conditional means and variances.  We find that our techniques work well in an empirical exercise involving U.S.  inflation and GDP growth.  Empirical results suggest that the number of change points is larger than previously estimated in these series and the implied model is similar to a time-varying parameter model with stochastic volatility"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
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