A Bayesian threshold nonlinearity test for TAR models

zbMATH Open1244.62129MaRDI QIDQ2885992FDOQ2885992

Authors: Qiang Xia, Jinshan Liu 

Publication date: 1 June 2012

Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Recommendations

• Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
• A Bayesian nonlinearity test for threshold moving average models
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Inference in TAR Models
• Tests for TAR models vs. star models -- a separate family of hypotheses approach

zbMATH Keywords

Bayesian inferenceposterior probabilityAR models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Cited In (2)

• Statistical Inference for Structurally Changed Threshold Autoregressive Models
• A Bayesian nonlinearity test for threshold moving average models

This page was built for publication: A Bayesian threshold nonlinearity test for TAR models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2885992)