Bayesian Methods in Nonlinear Time Series

Oleg Korenok

No 703, Working Papers from VCU School of Business, Department of Economics

Abstract: This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective. For each model we start by describing a baseline model and discussing possible extensions and applications. Then we review the choice of prior, inference, tests against the linear hypothesis, and conclude with models selection. A short discussion of recent progress in incorporating regime changes into theoretical macroeconomic models concludes our survey.

Keywords: Threshold; Smooth Threshold; Markov-switching (search for similar items in EconPapers)
JEL-codes: C11 C22 C52 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2007-03
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.people.vcu.edu/~okorenok/BNTpost.pdf Entry for Springer Encyclopedia of Complexity and Systems Science (Robert A. Meyers, Ed.) to be published in 2008. (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vcu:wpaper:0703

Access Statistics for this paper

More papers in Working Papers from VCU School of Business, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Oleg Korenok ().