Bayesian estimation and forecasting in nonlinear models. Application to an LSTAR model

DOI10.1016/0165-1765(94)00478-1zbMath0807.62027OpenAlexW2093041082MaRDI QIDQ1342683

Anne Peguin-Feissolle

Publication date: 1 March 1995

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00478-1

zbMATH Keywords

nonlinear modelimportance samplingMonte Carlo integrationfirst- order Taylor series expansionLSTAR modelnonlinear conditional expectation

Mathematics Subject Classification ID

Bayesian inference (62F15) General nonlinear regression (62J02) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Unnamed Item
• Antithetic acceleration of Monte Carlo integration in Bayesian inference
• Exact predictive densities for linear models with ARCH disturbances
• Testing linearity against smooth transition autoregressive models
• Bayesian Inference in Econometric Models Using Monte Carlo Integration

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