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Bayesian Methods in Nonlinear Time Series

Author

Listed:
  • Korenok Oleg

    (Department of Economics, VCU School of Business)

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.

Suggested Citation

  • Korenok Oleg, 2007. "Bayesian Methods in Nonlinear Time Series," Working Papers 0703, VCU School of Business, Department of Economics.
    • Handle: RePEc:vcu:wpaper:0703
    as

    Download full text from publisher

    File URL: http://www.people.vcu.edu/~okorenok/BNTpost.pdf
    File Function: Entry for Springer Encyclopedia of Complexity and Systems Science (Robert A. Meyers, Ed.) to be published in 2008.
    Download Restriction: no
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    More about this item

    Keywords

    Threshold; Smooth Threshold; Markov-switching;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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