We compare testing strategies for Granger noncausality in vector autoregressions (VARs) that may or may not have unit roots and cointegration. Sequential testing methods are examined; these test for cointegration and use either a differenced VAR or a vector error correction model (VECM), in which...

In this paper we investigate the impact of data revisions on forecasting and model selection procedures. A linear ARMA model and nonlinear SETAR model are considered in this study. Two Canadian macroeconomic time series have been analyzed: the real-time monetary aggregate M3 (1977-2000), and...

In this study we suggest a Bayesian approach to fuzzy clustering analysis – the Bayesian fuzzy regression. Bayesian Posterior Odds analysis is employed to select the correct number of clusters for the fuzzy regression analysis. In this study, we use a natural conjugate prior for the...

In this study we suggest a Bayesian approach to fuzzy clustering analysis – the Bayesian fuzzy regression. Bayesian Posterior Odds analysis is employed to select the correct number of clusters for the fuzzy regression analysis. In this study, we use a natural conjugate prior for the...