Efficient Bayesian inference for multiple change-point and mixture innovation models

Article Abstract:

An adaptive algorithm for modeling and inference of processes subject to random shifts in parameters is presented. This method improves efficiency for US inflation and real interest rate models by 257% and 341% respectively.

United States, Interest Rates, Latent structure analysis

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Forecasting using Bayesian and information-theoretic model averaging: an application to U.K. inflation

Article Abstract:

The use of information-theoretic model averaging as an alternative to Bayesian model averaging methods is proposed. Forecasts of UK inflation made through this method are comparable to forecasts made using Bayesian methods.

Economic aspects, Economic forecasting

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Testing for neglected nonlinearity in long-memory models

Article Abstract:

A modeling strategy and testing framework for nonlinearity in a time series process with a fractionally integrated component is suggested. A procedure to estimate the long-memory parameter is described and tested.

Product information, Usage, Testing, Foreign exchange, Foreign exchange rates, Nonlinear theories, Time-series analysis, Time series analysis, Volatility (Finance)

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