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Journal of Business & Economic Statistics Volume 11, 1993 - Issue 1
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Original Articles

Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts

James H. Albert Department of Mathematics and Statistics, Bowling Green State University, Bowling Green, OH, 43403
&
Siddhartha Chib John M. Olin School of Business, Washington University, St. Louis, MO, 63130
Pages 1-15 | Published online: 02 Jul 2012

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Djoweyda Ghouil & Megdouda Ourbih-Tari. (2023) Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation. Statistical Theory and Related Fields 7:3, pages 177-187.
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Rodrigo Caputo & Félix Ordóñez. (2022) Wars, cartels and COVID-19: regime switching in commodity prices. Applied Economics Letters 0:0, pages 1-8.
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Varun Agiwal, Jitendra Kumar & Narinder Kumar. (2022) Bayesian Estimation of the Polynomial Time Trend AR(1) Model through Spline Function. American Journal of Mathematical and Management Sciences 41:1, pages 13-23.
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Kjartan Kloster Osmundsen, Tore Selland Kleppe & Atle Oglend. (2021) MCMC for Markov-switching models—Gibbs sampling vs. marginalized likelihood. Communications in Statistics - Simulation and Computation 50:3, pages 669-690.
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S. de Haan-Rietdijk, P. Kuppens, C. S. Bergeman, L. B. Sheeber, N. B. Allen & E. L. Hamaker. (2017) On the Use of Mixed Markov Models for Intensive Longitudinal Data. Multivariate Behavioral Research 52:6, pages 747-767.
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Gabriele Fiorentini, Christophe Planas & Alessandro Rossi. (2017) Marginal distribution of Markov-switching VAR processes. Communications in Statistics - Theory and Methods 46:13, pages 6605-6623.
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Daniel R. Kowal, David S. Matteson & David Ruppert. (2017) A Bayesian Multivariate Functional Dynamic Linear Model. Journal of the American Statistical Association 112:518, pages 733-744.
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Chune Young Chung & Chang Liu. (2016) Estimating the Model for Seasoned Equity Offering Underpricing: Application to the Chinese Financial Market. Emerging Markets Finance and Trade 52:6, pages 1472-1480.
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William S. Chang & Yun-Huan Lee. (2015) Policy momentum for the development of Taiwan's cultural creative industries. Current Issues in Tourism 18:11, pages 1088-1098.
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Chang-Jin Kim & Jaeho Kim. (2015) Bayesian Inference in Regime-Switching ARMA Models With Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Regime Shifts. Journal of Business & Economic Statistics 33:4, pages 566-578.
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Panagiotis Papastamoulis. (2014) Handling the Label Switching Problem in Latent Class Models Via the ECR Algorithm. Communications in Statistics - Simulation and Computation 43:4, pages 913-927.
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Haipeng Xing & Zhiliang Ying. (2012) A Semiparametric Change-Point Regression Model for Longitudinal Observations. Journal of the American Statistical Association 107:500, pages 1625-1637.
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Jörn Dannemann. (2012) Semiparametric Hidden Markov Models. Journal of Computational and Graphical Statistics 21:3, pages 677-692.
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Nasip Bolatoglu, Funda Telatar & Erdinc Telatar. (2009) Stochastic behaviour of the real exchange rate for Jordan: a re-examination. Applied Economics Letters 16:1, pages 81-85.
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Akifumi Isogai, Satoru Kanoh & Toshifumi Tokunaga. (2008) A further extension of duration-dependent models. The European Journal of Finance 14:5, pages 427-449.
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Miquel Clar, Juan-Carlos Duque & Rosina Moreno. (2007) Forecasting business and consumer surveys indicators–a time-series models competition. Applied Economics 39:20, pages 2565-2580.
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Yuchao Zhao & H. Christopher Frey. (2006) Uncertainty for Data with Non-Detects: Air Toxic Emissions from Combustion. Human and Ecological Risk Assessment: An International Journal 12:6, pages 1171-1191.
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Cathy W. S. Chen, Jack C. Lee, Hsiang-Yu Lee & W. F. Niu. (2004) Bayesian estimation for time-series regressions improved with exact likelihoods. Journal of Statistical Computation and Simulation 74:10, pages 727-740.
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Edoardo Otranto & Giampiero M. Gallo. (2002) A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS. Econometric Reviews 21:4, pages 477-496.
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MarjorieA. Rosenberg & VirginiaR. Young. (1999) A Bayesian Approach to Understanding Time Series Data. North American Actuarial Journal 3:2, pages 130-143.
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Mike EC. P. So, K. Lam & W.K. Li. (1998) A Stochastic Volatility Model With Markov Switching. Journal of Business & Economic Statistics 16:2, pages 244-253.
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Zacharias Psaradakis. (1998) Bootstrap-based evaluation of markov-switching time series models. Econometric Reviews 17:3, pages 275-288.
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Siddhartha Chib. (1995) Marginal Likelihood from the Gibbs Output. Journal of the American Statistical Association 90:432, pages 1313-1321.
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AndrewJ. Filardo. (1994) Business-Cycle Phases and Their Transitional Dynamics. Journal of Business & Economic Statistics 12:3, pages 299-308.
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Jim Albert. (1993) Comment. Journal of the American Statistical Association 88:424, pages 1184-1188.
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Articles from other publishers (8)

Brian King & Daniel R. Kowal. (2023) Warped Dynamic Linear Models for Time Series of Counts. Bayesian Analysis -1:-1.
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Keisuke Kondo. (2022) Spatial dependence in regional business cycles: evidence from Mexican states. Journal of Spatial Econometrics 3:1.
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Chiara Lattanzi & Manuele Leonelli. (2021) A change-point approach for the identification of financial extreme regimes. Brazilian Journal of Probability and Statistics 35:4.
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Beniamino Hadj-Amar, Bärbel Finkenstädt, Mark Fiecas & Robert Huckstepp. (2021) Identifying the recurrence of sleep apnea using a harmonic hidden Markov model. The Annals of Applied Statistics 15:3.
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Varun AgiwalJitendra KumarDahud Kehinde Shangodoyin. (2020) A Bayesian analysis of complete multiple breaks in a panel autoregressive (CMB-PAR(1)) time series model. Statistics in Transition New Series 21:5, pages 133-149.
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Chee Nian Lee & Hong Choon Ong. Bayesian analysis of change point problems for time series data. Bayesian analysis of change point problems for time series data.
Jie Lu, Angang Hu & Yilong Yan. (2012) Nonlinear investigations of China's agricultural transformation based on the structural break regime switching model. China Agricultural Economic Review 4:1, pages 52-68.
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George Chang. (2006) Bayesian Markov mixture of normals approach to modeling financial returns. Studies in Economics and Finance 23:2, pages 141-158.
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