Bayesian Methods in Nonlinear Time Series
AbstractThis 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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Bibliographic InfoPaper provided by VCU School of Business, Department of Economics in its series Working Papers with number 0703.
Length: 32 pages
Date of creation: Mar 2007
Date of revision:
Threshold; Smooth Threshold; Markov-switching;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-13 (All new papers)
- NEP-ECM-2007-10-13 (Econometrics)
- NEP-ETS-2007-10-13 (Econometric Time Series)
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