We hope to be able to provide answers to the following questions: 1) Has there been a structural break in postwar U.S. real GDP growth toward more stabilization? 2) If so, when would it have been? 3) What's the nature of the structural break? For this purpose, we employ a Bayesian approach to dealing with structural break at an unknown changepoint in a Markov-switching model of business cycle. ...

abstract this paper attempts to re-investigate the catching-up (stochastic convergence) hypothesis among the selected 16 oecd countries applying the time series approach of convergence hypothesis with annual data over one century. to reach this aim, we propose a model which specifies a trend function, incorporating both types of structural breaks – that is, sharp breaks and smooth shifts using ...

This paper proposes two newweighting schemes that average forecasts based on different estimation windows in order to account for possible structural change. The first scheme weights the forecasts according to the values of reversed ordered CUSUM (ROC) test statistics, while the second weighting method simply assigns heavier weights to forecasts that use more recent information. Simulation resu...

This article uses Bayesian marginal likelihood analysis to compare univariate models of the stock return behavior and test for structural breaks in the equity premium. The analysis favors a model that relates the equity premium to Markov-switching changes in the level of market volatility and accommodates volatility feedback. For this model, there is evidence of a one-time structural break in t...

Abstract Rather than relying on a potentially poor point estimate of coefficient break date when forecasting, this paper proposes averaging forecasts over sub-samples indicated by confidence interval or set for the date. Further, we examine whether explicit consideration possible variance and use two-step methodology improves forecast accuracy compared with using heteroskedasticity robust infer...

BACKGROUND Deaths from diseases of the circulatory system and the seasonality of deaths from these causes fell sharply between 1995 and 2005 among older age groups in Ireland. We examine whether a structural break occurred in deaths from circulatory causes in Ireland between 1995 and 2005 and test whether this can be statistically accounted for by cardiovascular prescribing during the same peri...