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A Bayesian analysis of generalized threshold autoregressive models

Cathy W. S. Chen ()

Statistics & Probability Letters, 1998, vol. 40, issue 1, 15-22

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.

Keywords: MCMC; method; Gibbs; sampler; Metropolis; algorithm; Generalized; TAR; models (search for similar items in EconPapers)
Date: 1998
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