| LTM: Bayesian Analysis of Latent Threshold Dynamic Models
Jouchi Nakajima & Mike West
- Publication: Journal of Business and Economic Statistics 31(2): 151-164, 2013
- Appendices to the paper. This supplementary document
includes technical details of posterior computation via MCMC, further empirical evaluation of MCMC sampling
in data analyses reported in the paper, and results of the second application to Japanese macroeconomic data.
(Note: The supplement here was updated in December 2013
correct two minor typos in the original appendix/supplement. The code
was updated in one place as a result of one of these typos.
We thank Kaoru Irie for pointing these out. The results reported in the
original paper were not affected by these
- Code and data,
including the Ox code for the MCMC analysis and both
the US and Japanese economic data sets.
This software is made freely available to any interested user. The authors can provide
no support nor assistance with implementations beyond the example in the code, nor
extensions of the code for other purposes. The download has been tested to confirm all
details are operational as described.
It is understood by the user that neither the authors nor Duke University bear any responsibility
nor assume any liability for any end-use of this software. It is expected that appropriate
credit/acknowledgment be given should the software be included as an element in other software development
or in publications.