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A Bayesian analysis of generalized threshold autoregressive models

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  • Chen, Cathy W. S.

Abstract

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.

Suggested Citation

  • Chen, Cathy W. S., 1998. "A Bayesian analysis of generalized threshold autoregressive models," Statistics & Probability Letters, Elsevier, vol. 40(1), pages 15-22, September.
  • Handle: RePEc:eee:stapro:v:40:y:1998:i:1:p:15-22
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    References listed on IDEAS

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    1. Nicholas G. Polson & George C. Tiao (ed.), 1995. "Bayesian Inference," Books, Edward Elgar Publishing, volume 0, number 602, April.
    2. 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.
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    Citations

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    Cited by:

    1. Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P., 2003. "Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 487-502.
    2. Candelon, Bertrand & Lieb, Lenard, 2013. "Fiscal policy in good and bad times," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2679-2694.
    3. Liu, Hsiang-Hsi & Chuang, Wen-I & Huang, Jih-Jeng & Chen, Yu-Hao, 2016. "The overconfident trading behavior of individual versus institutional investors," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 518-539.
    4. Silvia Haan-Rietdijk & John M. Gottman & Cindy S. Bergeman & Ellen L. Hamaker, 2016. "Get Over It! A Multilevel Threshold Autoregressive Model for State-Dependent Affect Regulation," Psychometrika, Springer;The Psychometric Society, vol. 81(1), pages 217-241, March.
    5. Jiazhu Pan & Qiang Xia & Jinshan Liu, 2017. "Bayesian analysis of multiple thresholds autoregressive model," Computational Statistics, Springer, vol. 32(1), pages 219-237, March.
    6. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014. "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters," International Journal of Forecasting, Elsevier, vol. 30(1), pages 129-143.
    7. Gerlach, Richard & Chen, Cathy W.S. & Lin, Doris S.Y. & Huang, Ming-Hsiang, 2006. "Asymmetric responses of international stock markets to trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 422-444.
    8. Philipp Piribauer, 2016. "Heterogeneity in spatial growth clusters," Empirical Economics, Springer, vol. 51(2), pages 659-680, September.
    9. Kling, Gerhard & Gao, Lei, 2008. "Chinese institutional investors' sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 374-387, October.
    10. Mohamed A. Ismail & Husni A. Charif, 2003. "Bayesian inference for threshold moving average models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 119-132.
    11. Kushal Banik Chowdhury & Nityananda Sarkar, 2015. "The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model," International Econometric Review (IER), Econometric Research Association, vol. 7(1), pages 34-50, April.

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