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Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data

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  • Park, Soo Jung
  • Wan Shin, Dong
  • Uk Park, Byeong
  • Chul Kim, Woo
  • Oh, Man-Suk
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4D5NYMC-2/2/8f406368111d8a5459389576a37bb4d5
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 49 (2005)
    Issue (Month): 4 (June)
    Pages: 1192-1204

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    Handle: RePEc:eee:csdana:v:49:y:2005:i:4:p:1192-1204

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    Web page: http://www.elsevier.com/locate/csda

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    References

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    1. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
    2. Oh, Man-Suk, 1999. "Estimation of posterior density functions from a posterior sample," Computational Statistics & Data Analysis, Elsevier, vol. 29(4), pages 411-427, February.
    3. Koop, Gary & Potter, Simon M, 1999. "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
    4. Lee, Oesook & Shin, Dong Wan, 2001. "A note on stationarity of the MTAR process on the boundary of the stationarity region," Economics Letters, Elsevier, vol. 73(3), pages 263-268, December.
    5. Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers 1388, Iowa State University, Department of Economics.
    6. Shin, Dong Wan & Lee, Oesook, 2001. "Tests for Asymmetry in Possibly Nonstationary Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 233-44, April.
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    Cited by:
    1. Oh, Man-Suk & Shin, Dong Wan, 2011. "A unified Bayesian inference on treatment means with order constraints," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 924-934, January.

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