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Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data

Title
Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data
Authors
Park S.J.Wan Shin D.Uk Park B.Chul Kim W.Oh M.-S.
Ewha Authors
오만숙신동완
SCOPUS Author ID
오만숙scopus; 신동완scopus
Issue Date
2005
Journal Title
Computational Statistics and Data Analysis
ISSN
0167-9473JCR Link
Citation
vol. 49, no. 4, pp. 1192 - 1204
Indexed
SCIE; SCOPUS WOS scopus
Abstract
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. © 2004 Elsevier B.V. All rights reserved.
DOI
10.1016/j.csda.2004.07.023
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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