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Bayesian estimation and forecasting in non-linear models application to an LSTAR model

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  • Peguin-Feissolle, Anne

Abstract

This paper considers the Bayesian estimation and prediction in a non-linear model by means of Monte Carlo integration with importance sampling. The importance function is derived from a first-order Taylor series expansion of the non-linear conditional expectation of the endogenous variable. The method is applied to an LSTAR model with an artificial sample.
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  • Peguin-Feissolle, Anne, 1994. "Bayesian estimation and forecasting in non-linear models application to an LSTAR model," Economics Letters, Elsevier, vol. 46(3), pages 187-194, November.
  • Handle: RePEc:eee:ecolet:v:46:y:1994:i:3:p:187-194
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    1. Flinn, Christopher J & Heckman, James J, 1983. "Are Unemployment and Out of the Labor Force Behaviorally Distinct Labor Force States?," Journal of Labor Economics, University of Chicago Press, vol. 1(1), pages 28-42, January.
    2. T. Aldrich Finegan, 1981. "Discouraged Workers and Economic Fluctuations," ILR Review, Cornell University, ILR School, vol. 35(1), pages 88-102, October.
    3. Burdett, Kenneth & Ondrich, Jan I, 1985. "How Changes in Labor Demand Affect Unemployed Workers," Journal of Labor Economics, University of Chicago Press, vol. 3(1), pages 1-10, January.
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