Chen, Yi-Chi; Yu, Wei-Choun - In: Economics Bulletin 31 (2011) 2, pp. 1807-1826
Using Bayesian methods, we reexamine the empirical evidence from Sakoulis et al. (2010) regarding structural breaks in the forward discount for G-7 countries. Our Bayesian framework allows the number and pattern of structural changes in level and variance to be endogenously determined. We find...