Forecasting Time Series Subject to Multiple Structural Breaks
Data up to Jan 2025
Total Citations Per Year
Abstract
References (39)
Density Estimation for Statistics and Data Analysis
2018 • 15,477 citations
Bayesian Data Analysis
1995 • 14,293 citations
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
1989 • 9,360 citations
Theory of probability
1939 • 6,981 citations
Estimating and Testing Linear Models with Multiple Structural Changes
1998 • 5,657 citations
Computation and analysis of multiple structural change models
2002 • 5,096 citations
Understanding the Metropolis-Hastings Algorithm
1995 • 3,536 citations
Forecasting Economic Time Series
2000 • 1,898 citations
Marginal Likelihood from the Gibbs Output
1995 • 1,819 citations
Combination forecasts of output growth in a seven‐country data set
2004 • 1,105 citations
Marginal Likelihood From the Metropolis–Hastings Output
2001 • 1,072 citations
Rational-expectations econometric analysis of changes in regime
1988 • 933 citations
Forecasting Economic Time Series
1998 • 871 citations
Regime Switches in Interest Rates
2002 • 859 citations
On assessing prior distributions and Bayesian regression analysis with g-prior distributions
1986 • 838 citations
An Analysis of the Real Interest Rate Under Regime Shifts
1996 • 798 citations
Estimation and comparison of multiple change-point models
1998 • 687 citations
Hierarchical Bayesian Analysis of Changepoint Problems
1992 • 585 citations
Calculating posterior distributions and modal estimates in Markov mixture models
1996 • 577 citations
Forecasting Non-Stationary Economic Time Series
1999 • 461 citations
The Equity Premium and Structural Breaks
2001 • 376 citations
Persistence in forecasting performance and conditional combination strategies
2005 • 352 citations
Small sample properties of forecasts from autoregressive models under structural breaks
2004 • 345 citations
Market timing and return prediction under model instability
2002 • 313 citations
COMPUTATION AND ANALYSIS OF MULTIPLE STRUCTURAL CHANGE MODELS
2003 • 283 citations
Bayesian inference on GARCH models using the Gibbs sampler
1998 • 240 citations
Regime Switches in Interest Rates
1998 • 197 citations
Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
1993 • 178 citations
The Phillips Curve, the Persistence of Inflation, and the Lucas Critique: Evidence from Exchange-Rate Regimes: Comment
2000 • 176 citations
The use of prior information in forecast combination
1990 • 169 citations
The Less-Volatile U.S. Economy
2004 • 165 citations
Are apparent findings of nonlinearity due to structural instability in economic time series?
2001 • 106 citations
The Equity Premium And Structural Breaks
1998 • 88 citations
Detection of Multiple Changes of Variance Using Posterior Odds
1993 • 69 citations
Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy
2000 • 54 citations
Forecasting and estimating multiple change-point models with an unknown number of change points
2004 • 37 citations
Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks
2003 • 21 citations
Prior Elicitation in Multiple Change-point Models
2004 • 8 citations
Deleted Work
1955 • 0 citations