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Article Dans Une Revue Economics Letters Année : 1994

Bayesian estimation and forecasting in nonlinear models : application to an LSTAR model

Résumé

This paper considers the Bayesian estimation and prediction in a non-linear model by means of Monte Carlo integration with importance sampling. The importance function is derived from a first-order Taylor series expansion of the non-linear conditional expectation of the endogenous variable. The method is applied to an LSTAR model with an artificial sample.

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Dates et versions

hal-00390208 , version 1 (01-06-2009)

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Anne Peguin-Feissolle. Bayesian estimation and forecasting in nonlinear models : application to an LSTAR model. Economics Letters, 1994, 46 (3), pp.187-194. ⟨10.1016/0165-1765(94)00478-1⟩. ⟨hal-00390208⟩
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