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

DOI10.1016/0165-1765(94)00478-1MaRDI QIDQ1342683zbMATH OpenOpenAlexFDO

Authors 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

importance samplingnonlinear modelMonte 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)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Antithetic acceleration of Monte Carlo integration in Bayesian inference
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Exact predictive densities for linear models with ARCH disturbances
• Testing linearity against smooth transition autoregressive models

Cited in

(5)

• Bayesian inference and forecasting in the stationary bilinear model
• Cross-entropy method for estimation of posterior expectation in Bayesian VAR models
• Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
• The application of the NTM method in nonlinear Bayesian dynamic models
• scientific article; zbMATH DE number 7234888 (Why is no real title available?)

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