Asymptotic properties of Bayesian inference in linear regression with a structural break
含结构突变线性回归中贝叶斯推断的渐近性质
This paper studies large sample properties of a Bayesian approach to inference about slope parameters γ in linear regression models with a structural break. In contrast to the conventional approach to inference about γ that does not take into account the uncertainty of the unknown break date, the Bayesian approach that we consider incorporates such uncertainty. Our main theoretical contribution is a Bernstein–von Mises type theorem (Bayesian asymptotic normality) for γ under…