Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors

DOI10.1016/j.jeconom.2018.11.012zbMath1452.62631OpenAlexW2794646778MaRDI QIDQ1740349

Mark J. Jensen, Mark Fisher

Publication date: 30 April 2019

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

Full work available at URL: http://hdl.handle.net/10419/200524

zbMATH Keywords

change pointsDirichlet processmutual fund performancehierarchical priorsBayesian nonparametric analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Bayesian inference (62F15)

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Uses Software

• BayesDA

Cites Work

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