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Bayesian Methods in Nonlinear Time Series

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  • Korenok Oleg

    ()
    (Department of Economics, VCU School of Business)

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 Function: Entry for Springer Encyclopedia of Complexity and Systems Science (Robert A. Meyers, Ed.) to be published in 2008.
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Bibliographic Info

Paper provided by VCU School of Business, Department of Economics in its series Working Papers with number 0703.

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Length: 32 pages
Date of creation: Mar 2007
Date of revision:
Handle: RePEc:vcu:wpaper:0703

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Keywords: Threshold; Smooth Threshold; Markov-switching;

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