A flexible approach to parametric inference in nonlinear and time varying time series models

DOI10.1016/j.jeconom.2010.05.002zbMath1431.62392OpenAlexW2096694940MaRDI QIDQ736695

Gary Koop, Simon M. Potter

Publication date: 4 August 2016

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

Full work available at URL: https://strathprints.strath.ac.uk/28119/

zbMATH Keywords

regime switchingstate space modelstructural breakBayesianthreshold autoregressive

Mathematics Subject Classification ID

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

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Uses Software

• bvarsv

Cites Work

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