Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R

The Newsletter of the R Project

8 Pages Posted: 27 May 2009 Last revised: 21 Aug 2009

See all articles by Cathy W. S. Chen

Cathy W. S. Chen

Feng Chia University - Department of Statistics; Graduate Institute of Statistics & Actuarial Science, Feng Chia University

Edward M.H. Lin

Graduate Institute of Applied Statistics, Feng Chia University

Feng-Chi Liu

Feng Chia University - Department of Statistics

Richard H. Gerlach

University of Sydney

Date Written: May 27, 2009

Abstract

BAYSTAR provides Bayesian MCMC methods for iteratively sampling to provide parameter estimates and inference for the two-regime SETAR model. A convenient user interface for importing data from a file or specifying true values for simulated data is easy to apply for analysis. Parameter inferences are summarized to an easily readable format. Simultaneously, the checking of convergence can be done by monitoring the MCMC trace plots and autocorrelograms.

Keywords: Asymmetry; MCMC method; two-regime SETAR model; BAYSTAR package

JEL Classification: c11, c15, c22, c51, c52

Suggested Citation

Chen, Cathy W. S. and Lin, Edward M.H. and Liu, Feng-Chi and Gerlach, Richard H., Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R (May 27, 2009). The Newsletter of the R Project. Available at SSRN: https://ssrn.com/abstract=1410436

Cathy W. S. Chen (Contact Author)

Feng Chia University - Department of Statistics ( email )

100 Wen Hwa Road
Taichung, 407
Taiwan
886 4 24517250 ext 4412 (Phone)
886 4 24517092 (Fax)

HOME PAGE: http://myweb.fcu.edu.tw/~chenws/

Graduate Institute of Statistics & Actuarial Science, Feng Chia University

100 Wenhwa Road
Talchung
Taiwan
886 4-24517250 ext 4412 (Phone)
886 4-2517092 (Fax)

HOME PAGE: http://myweb.fcu.edu.tw/~chenws/

Edward M.H. Lin

Graduate Institute of Applied Statistics, Feng Chia University ( email )

100 Wen Hwa Road
Taichung, 407
Taiwan

Feng-Chi Liu

Feng Chia University - Department of Statistics ( email )

100 Wen Hwa Road
Taichung, 407
Taiwan
+886-4-24517250 ext 4416 (Phone)

Richard H. Gerlach

University of Sydney ( email )

Room 483, Building H04
University of Sydney
Sydney, NSW 2006
Australia
+ 612 9351 3944 (Phone)
+ 612 9351 6409 (Fax)

HOME PAGE: http://www.econ.usyd.edu.au/staff/richardg

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