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Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data

  • Park, Soo Jung
  • Wan Shin, Dong
  • Uk Park, Byeong
  • Chul Kim, Woo
  • Oh, Man-Suk
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4D5NYMC-2/2/8f406368111d8a5459389576a37bb4d5
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 49 (2005)
    Issue (Month): 4 (June)
    Pages: 1192-1204

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    Handle: RePEc:eee:csdana:v:49:y:2005:i:4:p:1192-1204
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers 1388, Iowa State University, Department of Economics.
    2. Lee, Oesook & Shin, Dong Wan, 2001. "A note on stationarity of the MTAR process on the boundary of the stationarity region," Economics Letters, Elsevier, vol. 73(3), pages 263-268, December.
    3. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
    4. Koop, Gary & Potter, Simon M, 1999. "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
    5. Shin, Dong Wan & Lee, Oesook, 2001. "Tests for Asymmetry in Possibly Nonstationary Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 233-44, April.
    6. Oh, Man-Suk, 1999. "Estimation of posterior density functions from a posterior sample," Computational Statistics & Data Analysis, Elsevier, vol. 29(4), pages 411-427, February.
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