A Bayesian threshold nonlinearity test for TAR models

MaRDI QIDQ2885992zbMATH OpenFDO

Authors Qiang Xia, Jinshan Liu

Publication date 1 June 2012

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

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)

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

Cited in

(5)

• Tests for TAR models vs. star models -- a separate family of hypotheses approach
• Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
• On nonlinear TAR processes and threshold estimation
• 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)