Bayesian analysis of switching regression models

DOI10.1016/0304-4076(85)90033-8zbMath0591.62096OpenAlexW2075133806MaRDI QIDQ1075000

Michel Lubrano

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90033-8

zbMATH Keywords

maximum likelihood estimatormean square errorposterior momentsposterior densitylocal identificationMonte Carlo procedurechange of regimesdisequilibrium market modelsmin-operatorswitching linear regression models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Bayesian inference (62F15) General equilibrium theory (91B50)

Related Items

Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market ⋮ A Bayesian analysis of some threshold switching models ⋮ Some aspects of prior elicitation problems in disequilibrium models

Cites Work

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