Jung, Yoon Young; Shin, Dong Wan; Oh, Man-Suk - In: Journal of Applied Statistics 32 (2005) 8, pp. 841-854
Bayesian analysis of panel data using a class of momentum threshold autoregressive (MTAR) models is considered. Posterior estimation of parameters of the MTAR models is done by using a simple Markov Chain Monte Carlo (MCMC) algorithm. Selection of appropriate differenced variables, test for...
