Journal article
On inference for threshold autoregressive models
Test (Madrid, Spain), Vol.11(1), pp.55-71
06/2002
DOI: 10.1007/BF02595729
Abstract
We provide a complete Bayesian method for analyzing a threshold autoregressive (TAR) model when the order of the model is unknown. Our approach is based on a version (Godsill (2001)) of the reversible jump algorithm of Green (1995), and the method for estimating marginal likelihood from the Metropolis-Hasting algorithm by Chib and Jeliazkov (2001). We illustrate our results with simulated data and the Wolfe's sunspot data set.
Details
- Title: Subtitle
- On inference for threshold autoregressive models
- Creators
- Osnat Stramer - University of IowaYu-Jau Lin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Test (Madrid, Spain), Vol.11(1), pp.55-71
- DOI
- 10.1007/BF02595729
- ISSN
- 1133-0686
- eISSN
- 1863-8260
- Language
- English
- Date published
- 06/2002
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257736002771
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