Bayesian inference.

Friday, April 27, 2018 - 10:30am - 11:00am
Arnaud Dufays (Laval University)
Structural break time series models, which are commonly used in macroeconomics and finance, capture unknown structural changes by allowing for abrupt changes to model parameters. However, most specifications suffer from an over-parametrization issue, since all parameters have to change when a break occurs.
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