| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4624 |
| DP4624 Household Inequality, Welfare and the Setting of Trade Policy | |
| Joseph Francois; Hugo Rojas-Romagosa | |
| 发表日期 | 2004-09-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This Paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions are formed by integrating over the hyper parameters from the meta distributions that characterize the stochastic break point process. In an application to US Treasury bill rates, we find that the method leads to better out-of-sample forecasts than alternative methods that ignore breaks, particularly at long horizons. |
| 主题 | Financial Economics |
| 关键词 | Structural breaks Forecasting Hierarchical hidden markov chain model Bayesian model averaging |
| URL | https://cepr.org/publications/dp4624 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533544 |
| 推荐引用方式 GB/T 7714 | Joseph Francois,Hugo Rojas-Romagosa. DP4624 Household Inequality, Welfare and the Setting of Trade Policy. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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