Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach
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References listed on IDEAS
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More about this item
KeywordsMarkov-Switching models; Bootstrap; Gibbs Sampling;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-09 (All new papers)
- NEP-ECM-2008-02-09 (Econometrics)
- NEP-ETS-2008-02-09 (Econometric Time Series)
- NEP-FOR-2008-02-09 (Forecasting)
- NEP-ICT-2008-02-09 (Information & Communication Technologies)
- NEP-ORE-2008-02-09 (Operations Research)
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