Bayes factors and nonlinearity: Evidence from economic time series

DOI10.1016/S0304-4076(98)00031-1zbMath0937.62124OpenAlexW1976028601MaRDI QIDQ1305670

Simon M. Potter, Gary Koop

Publication date: 14 June 2000

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00031-1

zbMATH Keywords

Markov chain Monte CarloBayes factorsthreshold autoregressive modelMarkov trend model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)

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