Bayesian estimation and model selection of a multivariate smooth transition autoregressive model

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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...

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Bibliographic Details
Main Authors:	Livingston, G., Nur, Darfiana
Format:	Journal Article
Published:	2019
Online Access:	http://hdl.handle.net/20.500.11937/79611

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