A unified approach to nonlinearity, structural change, and outliers

DOI10.1016/j.jeconom.2006.03.013zbMath1360.62456OpenAlexW3022723808MaRDI QIDQ278493

Dick van Dijk, Robert Kohn, Paolo E. Giordani

Publication date: 2 May 2016

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

Full work available at URL: http://repub.eur.nl/pub/1910

zbMATH Keywords

state-space modelsthreshold modelsBayesian inferenceMarkov-switching modelsbusiness cycle asymmetry

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Markov processes: hypothesis testing (62M02)

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Uses Software

• BayesDA

Cites Work

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