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Bayesian estimation for threshold autoregressive model with multiple structural breaks

Author

Listed:
  • Varun Agiwal

    (Central University of Rajasthan)

  • Jitendra Kumar

    (Central University of Rajasthan)

Abstract

This paper provides a Bayesian setup for multiple regimes threshold autoregressive model with possible break points. A full conditional posterior distribution is obtained for all model parameters with considering suitable prior information. Threshold and break point variables do not attain standard form distributions. To compute posterior distributions, we apply the Gibbs sampler with the Metropolis-Hastings algorithm. A variety of loss functions are considered for optimizing the risk associated with each parameter. For empirical evidence, simulation study and real data illustration are carried out.

Suggested Citation

  • Varun Agiwal & Jitendra Kumar, 2020. "Bayesian estimation for threshold autoregressive model with multiple structural breaks," METRON, Springer;Sapienza Università di Roma, vol. 78(3), pages 361-382, December.
    • Handle: RePEc:spr:metron:v:78:y:2020:i:3:d:10.1007_s40300-020-00188-0
    DOI: 10.1007/s40300-020-00188-0
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