Bayesian estimation and forecasting in nonlinear models: application to an LSTAR model

Anne Peguin-Feissolle ()
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Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper considers the Bayesian estimation and prediction in a non-linear model by means of Monte Carlo integration with importance sampling. The importance function is derived from a first-order Taylor series expansion of the non-linear conditional expectation of the endogenous variable. The method is applied to an LSTAR model with an artificial sample.

Keywords: Bayesian estimation; LSTAR (search for similar items in EconPapers)
Date: 1994
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Published in Economics Letters, 1994, 46 (3), pp.187-194. ⟨10.1016/0165-1765(94)00478-1⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00390208

DOI: 10.1016/0165-1765(94)00478-1

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