A Bayesian analysis of generalized threshold autoregressive models
The threshold autoregressive (TAR) model is generalized which results in more flexibility in applications. We construct a Bayesian framework to show that Markov chain Monte Carlo method can be applied to estimating parameters with success.
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Volume (Year): 40 (1998)
Issue (Month): 1 (September)
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- Deutsch, Melinda & Granger, Clive W. J. & Terasvirta, Timo, 1994. "The combination of forecasts using changing weights," International Journal of Forecasting, Elsevier, vol. 10(1), pages 47-57, June.
- Nicholas G. Polson & George C. Tiao (ed.), 1995. "Bayesian Inference," Books, Edward Elgar Publishing, volume 0, number 602, March.
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