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Bayesian Analysis of Nonlinear Time Series Models with Threshold

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Author Info

  • Lubrano, M.

Abstract

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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Bibliographic Info

Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 96a12.

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Length: 33 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:aixmeq:96a12

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Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
Phone: 04.91.14.07.70
Fax: 04.91.90.02.27
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Web page: http://www.greqam.fr/
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Related research

Keywords: ECONOMETRICS; TIME SERIES; STATISTICS;

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Cited by:
  1. Michael Dueker & Martin Sola & Fabio Spagnolo, 2007. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers 5_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  2. Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
  3. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," CORE Discussion Papers 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. LUBRANO, Michel, 2000. "Bayesian non-linear modellings of the short term US interest rate: the help of non-parametric tools," CORE Discussion Papers 2000038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Simon M. Potter, 1999. "Nonlinear time series modelling: an introduction," Staff Reports 87, Federal Reserve Bank of New York.
  6. Greb, Friederike & Krivobokova, Tatyana & von Cramon-Taubadel, Stephan & Munk, Axel, 2011. "On threshold estimation in threshold vector error correction models," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114599, European Association of Agricultural Economists.

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