Structural changes in time series models

DOI10.1016/0304-4076(82)90055-0zbMath0491.62079OpenAlexW2077979671MaRDI QIDQ1167505

Diego Salazar

Publication date: 1982

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90055-0

zbMATH Keywords

autoregressive modelsstructural changesautocorrelated errorstime series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Structural change and unit roots ⋮ Estimating a gradual parameter change in an AR(1)-process ⋮ Bayesian Analysis of Structural Changes in Autoregressive Models ⋮ Switching Linear Models: A General Approach ⋮ Change-point problems: bibliography and review ⋮ Bayesian inferences for several autoregressive processes ⋮ A Bayesian analysis of some threshold switching models

Cites Work

• A Bayesian test of a parameter shift and an application
• Estimating the transition between two intersecting straight lines
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