Bayesian estimation of the switching regression model with autocorrelated errors

DOI10.1016/0304-4076(82)90039-2zbMath0489.62032OpenAlexW2066250920MaRDI QIDQ1166862

Kazuhiro Ohtani

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90039-2

zbMATH Keywords

posterior distributionsconditional distributionsBayesian estimationswitching regression modelnumerical studiesfirst-order autoregressive process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Related Items (4)

A gradual switching regression model with autocorrelated errors ⋮ Switching Linear Models: A General Approach ⋮ Change-point problems: bibliography and review ⋮ A Bayesian analysis of some threshold switching models

Cites Work

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• A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes
• Bayesian Analysis of the Regression Model With Autocorrelated Errors
• Inference about the intersection in two-phase regression
• Estimating the transition between two intersecting straight lines
• Inference in Two-Phase Regression
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

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