Bayesian Analysis of Nonlinear Time Series Models with Threshold.

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.

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Year of publication:	1996
Authors:	Lubrano, M.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	ECONOMETRICS \| TIME SERIES \| STATISTICS

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	C11 - Bayesian Analysis ; C22 - Time-Series Models ; C49 - Econometric and Statistical Methods: Special Topics. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005479083