Bayesian estimation of switching ARMA models
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- Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
- Barnett, Glen & Kohn, Robert & Sheather, Simon, 1996.
"Bayesian estimation of an autoregressive model using Markov chain Monte Carlo,"
Journal of Econometrics,
Elsevier, vol. 74(2), pages 237-254, October.
- Barnett, G. & Kohn, R. & Sheather, S., "undated". "Bayesian Estimation of an Autoregressive Model Using Markov Chain Monte Carlo," Statistics Working Paper _001, Australian Graduate School of Management.
- Monica Billio & Alain Monfort & Christian P, Robert, 1998. "The Simulated Likelihood Ratio (SLR) Method," Working Papers 98-21, Centre de Recherche en Economie et Statistique.
- Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
- 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. Full references (including those not matched with items on IDEAS)