Structural changes in inflation dynamics: multiple breaks at different dates for different parameters

DOI10.1515/SNDE-2015-0041OpenAlexW3122329091MaRDI QIDQ2691664

Yunjong Eo

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0041

zbMATH Keywords

Bayesian analysispersistenceinflation dynamicsstructural breaksmultiple-group changepointUC-SV model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Economic growth models (91B62)

Related Items (3)

Estimation of heuristic switching in behavioral macroeconomic models ⋮ Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series ⋮ Sparse Change-point HAR Models for Realized Variance

Cites Work

• Unnamed Item
• Calculating posterior distributions and modal estimates in Markov mixture models
• Estimation and comparison of multiple change-point models
• Marginal Likelihood from the Gibbs Output
• Forecasting Time Series Subject to Multiple Structural Breaks
• Tests for a change in persistence against the null of difference‐stationarity
• Inflation Persistence
• Estimation and Forecasting in Models with Multiple Breaks

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