On Marginal Likelihood Computation in Change-point Models
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- Bauwens, Luc & Rombouts, Jeroen V.K., 2012. "On marginal likelihood computation in change-point models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3415-3429.
- BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2012. "On marginal likelihood computation in change-point models," LIDAM Reprints CORE 2403, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & ROMBOUTS, Jeroen, 2009. "On marginal likelihood computation in change-point models," LIDAM Discussion Papers CORE 2009061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 847-859.
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More about this item
Keywords
BIC; Change-point model; Chib's method; Marginal likelihood;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-10-24 (Econometrics)
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