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Bayesian Methods in Nonlinear Time Series

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Author Info
Korenok Oleg () (Department of Economics, VCU School of Business)

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Abstract

This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective. For each model we start by describing a baseline model and discussing possible extensions and applications. Then we review the choice of prior, inference, tests against the linear hypothesis, and conclude with models selection. A short discussion of recent progress in incorporating regime changes into theoretical macroeconomic models concludes our survey.

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File URL: http://www.people.vcu.edu/~okorenok/BNTpost.pdf
File Format: application/pdf
File Function: Entry for Springer Encyclopedia of Complexity and Systems Science (Robert A. Meyers, Ed.) to be published in 2008.
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Publisher Info
Paper provided by VCU School of Business, Department of Economics in its series Working Papers with number 0703.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 32 pages
Date of creation: Mar 2007
Date of revision:
Handle: RePEc:vcu:wpaper:0703

Contact details of provider:
Postal: Box 844000, Richmond, VA 23284-4000
Phone: 804/828-1717
Web page: http://www.bus.vcu.edu/economics/
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For technical questions regarding this item, or to correct its listing, contact: (Oleg Korenok).

Related research
Keywords: Threshold Smooth Threshold Markov-switching

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
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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This page was last updated on 2008-9-7.

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