Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
The multivariate smooth transition autoregressive model with order k (M-STAR)(k) is a nonlinear multivariate time series model able to capture regime changes in the conditional mean. The main aim of this paper is to develop a Bayesian estimation scheme for the M-STAR(k) model that includes the coeff...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/79611 |