Bayesian estimation of cointegrating thresholds in the term structure of interest rates
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00181-005-0011-z.pdf
Reference15 articles.
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3. Campbell JY, Shiller RJ (1987) Cointegration and tests of present value models. J Polit Econ 95:1062–1088
4. Casella G, George EI (1992) Explaining the Gibbs sampler. Am Stat 46(3):167–174
5. Chib S, Greenberg E (1995a) Heirarchical analysis of SUR models with extensions to correlated serial errors and time varying parameters. J Econom 68:339–360
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