Bayesian Analysis of the Stochastic Switching Regression Model Using Markov Chain Monte Carlo Methods
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Other versions of this item:
- Odejar, Maria Ana E & McNulty, Mark S, 2001. "Bayesian Analysis of the Stochastic Switching Regression Model Using Markov Chain Monte Carlo Methods," Computational Economics, Springer;Society for Computational Economics, vol. 17(2-3), pages 265-284, June.
References listed on IDEAS
- Beard, T Randolph & Caudill, Steven B & Gropper, Daniel M, 1991. "Finite Mixture Estimation of Multiproduct Cost Functions," The Review of Economics and Statistics, MIT Press, vol. 73(4), pages 654-664, November.
- Kon, Stanley J & Jen, Frank C, 1978. "Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression," Journal of Finance, American Finance Association, vol. 33(2), pages 457-475, May.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1999-07-12 (All new papers)
- NEP-ECM-1999-07-12 (Econometrics)
- NEP-ETS-1999-07-12 (Econometric Time Series)
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