Bayesian Analysis of Nonlinear Time Series Models with Threshold
Michel Lubrano ()
G.R.E.Q.A.M. from Universite Aix-Marseille III
This paper considers the Bayesian analysis of threshold regression models. It shows that this analysis can be conducted with simple deterministic numerical integration in one or two dimensions. The shape of the posterior density is greatly determined by the type of threshold and of transition considered.
Keywords: ECONOMETRICS; TIME SERIES; STATISTICS (search for similar items in EconPapers)
JEL-codes: C11 C22 C49 (search for similar items in EconPapers)
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Working Paper: Bayesian Analysis of Nonlinear Time Series Models with a Threshold (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:96a12
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