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Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables

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  • Paroli, Roberta
  • Spezia, Luigi

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  • Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
  • Handle: RePEc:eee:csdana:v:52:y:2008:i:5:p:2311-2330
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    References listed on IDEAS

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    1. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July.
    2. Kapetanios, George, 2007. "Variable selection in regression models using nonstandard optimisation of information criteria," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 4-15, September.
    3. Billio, M. & Monfort, A. & Robert, C. P., 1999. "Bayesian estimation of switching ARMA models," Journal of Econometrics, Elsevier, vol. 93(2), pages 229-255, December.
    4. David J. Nott & Robert Kohn, 2005. "Adaptive sampling for Bayesian variable selection," Biometrika, Biometrika Trust, vol. 92(4), pages 747-763, December.
    5. Raymond, Jennie E & Rich, Robert W, 1997. "Oil and the Macroeconomy: A Markov State-Switching Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(2), pages 193-213, May.
    6. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
    7. Gatu, Cristian & Yanev, Petko I. & Kontoghiorghes, Erricos J., 2007. "A graph approach to generate all possible regression submodels," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 799-815, October.
    8. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
    9. Sylvia Fruhwirth-Schnatter, 2004. "Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 143-167, June.
    10. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    11. Hofmann, Marc & Gatu, Cristian & Kontoghiorghes, Erricos John, 2007. "Efficient algorithms for computing the best subset regression models for large-scale problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 16-29, September.
    12. Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
    13. J. P. Hughes & P Guttorp & S. P. Charles, 1999. "A non-homogeneous hidden Markov model for precipitation occurrence," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 48(1), pages 15-30.
    14. Matthew Stephens, 2000. "Dealing with label switching in mixture models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(4), pages 795-809.
    15. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    16. Chib S. & Jeliazkov I., 2001. "Marginal Likelihood From the Metropolis-Hastings Output," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 270-281, March.
    17. Barndorff-Nielsen, O. & Schou, G., 1973. "On the parametrization of autoregressive models by partial autocorrelations," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 408-419, December.
    18. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
    19. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, January.
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    Cited by:

    1. Bauwens, Luc & Rombouts, Jeroen V.K., 2012. "On marginal likelihood computation in change-point models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3415-3429.
    2. Spezia, L. & Cooksley, S.L. & Brewer, M.J. & Donnelly, D. & Tree, A., 2014. "Modelling species abundance in a river by Negative Binomial hidden Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 599-614.

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