Dellaportas, Petros; Denison, David G. T.; Holmes, Chris - In: Econometric Reviews 26 (2007) 2-4, pp. 419-437
This paper focuses on interest rate models with regime switching and extends previous nonlinear threshold models by relaxing the assumption of a fixed number of regimes. Instead we suggest automatic model determination through Bayesian inference via the reversible jump Markov Chain Monte Carlo...