This paper considers the Bayesian analysis of threshold regression models. It shows that this analysis can be conducted with simple deterministic numerical integration in one or two dimensions. The shape of the posterior density is greatly determined by the type of threshold and of transition considered.
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Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number
96a12.
Length: 33 pages Date of creation: 1996 Date of revision: Handle: RePEc:fth:aixmeq:96a12
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Find related papers by JEL classification: C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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