Bayesian subset selection for threshold autoregressive moving-average models
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Volume (Year): 26 (2011)
Issue (Month): 1 (March)
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- Carmen Fernandez & Eduardo Ley & Mark F J Steel, 1998.
"Benchmark priors for Bayesian model averaging,"
ESE Discussion Papers
26, Edinburgh School of Economics, University of Edinburgh.
- Carmen Fernandez & Eduardo Ley & Mark F.J. Steel, 1998. "Benchmark Priors for Bayesian Model Averaging," Econometrics 9804001, EconWPA, revised 31 Jul 1999.
- Carmen Fernandez & Eduardo Ley & Mark F J Steel, 1998. "Benchmark priors for Bayesian model averaging," ESE Discussion Papers 66, Edinburgh School of Economics, University of Edinburgh.
- Cathy W. S. Chen & Mike K. P. So & Ming-Tien Chen, 2005. "A Bayesian threshold nonlinearity test for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(1), pages 61-75.
- Amendola, Alessandra & Niglio, Marcella & Vitale, Cosimo, 2006. "The moments of SETARMA models," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 625-633, March.
- Smith, Michael & Kohn, Robert, 1996.
"Nonparametric regression using Bayesian variable selection,"
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Elsevier, vol. 75(2), pages 317-343, December.
- Smith, M. & Kohn, R., . "Nonparametric Regression using Bayesian Variable Selection," Statistics Working Paper _009, Australian Graduate School of Management.
- Potter, Simon M, 1995.
"A Nonlinear Approach to US GNP,"
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John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
- Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2004. "Estimating threshold subset autoregressive moving-average models by genetic algorithms," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 39-61.
- Cathy W. S. Chen & Mike K. P. So, 2003. "Subset threshold autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 49-66.
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