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


  • Peguin-Feissolle, Anne


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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Suggested Citation

  • 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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