Bayesian multi-regime smooth transition regression with ordered categorical variables

DOI10.1016/j.csda.2012.04.018zbMath1254.91627OpenAlexW2080260471MaRDI QIDQ1927195

Jianqiang C. Wang, Scott H. Holan

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.04.018

zbMATH Keywords

Markov chain Monte Carlononlinear time seriesmultivariate time seriesordinal regressionBayesian econometricscumulative probit model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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