کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10327960 681504 2005 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data
چکیده انگلیسی
We propose an easy and efficient Bayesian test procedure for asymmetry and nonstationarity in momentum threshold autoregressive model with possibly incomplete data. Estimation of parameters and missing observations is done by using a Markov chain Monte Carlo (MCMC) method. Testing for asymmetry and nonstationarity is done via test of multiple hypotheses representing various types of symmetry/asymmetry and stationarity/nonstationarity. This allows simultaneous consideration of parameters relevant to asymmetry and nonstationarity of the model, and also enables us to find the sources of asymmetry and nonstationarity when they exist. Posterior probabilities of the hypotheses are easily computed by using MCMC outputs under the full model, with almost no extra cost. We apply the proposed method to a set of Korea unemployment rate data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 49, Issue 4, 15 June 2005, Pages 1192-1204
نویسندگان
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