Bayes factors and nonlinearity: Evidence from economic time series

被引：53

作者：

Koop, G

Potter, SM

机构：

[1] Fed Reserve Bank New York, Domest Res Funct, New York, NY 10045 USA

[2] Univ Edinburgh, Dept Econ, Edinburgh EH8 9JY, Midlothian, Scotland

来源：

JOURNAL OF ECONOMETRICS | 1999年 / 88卷 / 02期

关键词：

bayes factor; Markov chain Monte Carlo; Markov trend model; threshold autoregressive model;

D O I：

10.1016/S0304-4076(98)00031-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper argues in favor of a Bayesian approach to evaluating evidence of nonlinearity in economic time series over the classical approach that has been dominant in the applied literature. An application is presented concerning nonlinearity in US GNP. (C) 1999 Published by Elsevier Science S.A. All rights reserved. JEL classification: C11; C12; C32.

引用

页码：251 / 281

页数：31

共 27 条

[1] BAYES INFERENCE VIA GIBBS SAMPLING OF AUTOREGRESSIVE TIME-SERIES SUBJECT TO MARKOV MEAN AND VARIANCE SHIFTS [J].