Forbes, Catherine S; Kalb, Guyonne R J; Kofman, Paul - In: Journal of Business & Economic Statistics 17 (1999) 3, pp. 364-72
A Bayesian estimation procedure is developed for estimating multiple-regime (multiple-threshold) error-correction models appropriate for deviations from financial arbitrage relationships. This approach has clear advantages over classical stepwise threshold autoregressive analysis. Unlike many...