Markov-switching quantile autoregression : a Gibbs sampling approach
Xiaochun Liu, Richard Luger
| Year of publication: |
Apr 2018
|
|---|---|
| Authors: | Liu, Xiaochun ; Luger, Richard |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 2, p. 1-33
|
| Subject: | asymmetric Laplace distribution | Gibbs sampler | non-crossing quantiles | quantile regression | regime changes | Theorie | Theory | Regressionsanalyse | Regression analysis | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2016-0078 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897360