Nonlinear time series analysis plays an important role in recent econometric literature, especially the bilinear model. In this paper, we cast the bilinear time series model in a Bayesian framework and make inference by using the Gibbs sampler, a Monte Carlo method. The methodology proposed is illustrated by using generated examples, two real data sets, as well as a simulation study. The results show that the Gibbs sampler provides a very encouraging option in analyzing bilinear time series.
