Access the full text.
Sign up today, get DeepDyve free for 14 days.
Hai-qiang Chen, T. Chong, Jushan Bai (2012)
Theory and Applications of TAR Model with Two Threshold VariablesEconometric Reviews, 31
H. Tong, K. Lim (1980)
Threshold Autoregression, Limit Cycles and Cyclical DataJournal of the royal statistical society series b-methodological, 42
W. Hastings (1970)
Monte Carlo Sampling Methods Using Markov Chains and Their ApplicationsBiometrika, 57
Cathy Chen, Jack Lee (1995)
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELSJournal of Time Series Analysis, 16
Hali Edison (2000)
Do Indicators of Financial Crises Work? An Evaluation of an Early Warning SystemInternational Finance
Jiazhu Pan, Qiang Xia, Jinshan Liu (2017)
Bayesian analysis of multiple thresholds autoregressive modelComputational Statistics, 32
John Geweke, Nobuhiko Terui (1993)
BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIESJournal of Time Series Analysis, 14
E. Leeper (1991)
Equilibria under ‘active’ and ‘passive’ monetary and fiscal policiesJournal of Monetary Economics, 27
(1998)
“ Currency and Banking Crises : The EarlyWarning of Distress . ” Technical Report 629 , Board of Governors of the Federal Reserve System
J. Sachs, A. Tornell, A. Velasco (1996)
Financial Crises in Emerging Markets: The Lessons from 1995Macroeconomics eJournal
(2000)
PriceMomentumand Trading Volume.
G. Tiao, R. Tsay (1994)
Some advances in non‐linear and adaptive modelling in time‐seriesJournal of Forecasting, 13
N. Metropolis, A. Rosenbluth, M. Rosenbluth, A. Teller (1953)
Equation of state calculations by fast computing machinesJournal of Chemical Physics, 21
(1993)
Bayesian Analysis of Threshold Autoregressive Processes with a RandomNumber of Regimes.
Qiang Xia, Jiazhu Pan, Zhiqiang Zhang, Jinshan Liu (2010)
A Bayesian nonlinearity test for threshold moving average modelsJournal of Time Series Analysis, 31
Mike So, Cathy Chen (2003)
Subset threshold autoregressionJournal of Forecasting, 22
J. Frankel, A. Rose (1996)
Currency Crashes in Emerging Markets: Empirical Indicators
H. Tong (1978)
On a threshold model
G. Kaminsky (1998)
Currency and Banking Crises: The Early Warnings of DistressRegulation of Financial Institutions eJournal
S. Durlauf, P. Johnson (1995)
Multiple regimes and cross‐country growth behaviourJournal of Applied Econometrics, 10
Edward George, R. McCulloch (1993)
Variable selection via Gibbs samplingJournal of the American Statistical Association, 88
(1963)
Granville’s New Key to Stock Market Profits
S. Geman, D. Geman (1984)
Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of ImagesIEEE Transactions on Pattern Analysis and Machine Intelligence, PAMI-6
AbstractIn this paper, we propose and study an effective Bayesian subset selection method for two-threshold variable autoregressive (TTV-AR) models. The usual complexity of model selection is increased by capturing the uncertainty of the two unknown threshold levels and the two unknown delay lags. By using Markov chain Monte Carlo (MCMC) techniques with driven by a stochastic search, we can identify the best subset model from a large number of possible choices. Simulation experiments show that the proposed method works very well. As applied to the application to the Hang Seng index, we successfully distinguish the best subset TTV-AR model.
Studies in Nonlinear Dynamics & Econometrics – de Gruyter
Published: Sep 25, 2018
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.