Bayesian Analysis of Endogenous Delay Threshold Models
AbstractWe develop Bayesian methods of analysis for a new class of threshold autoregressive models: endogenous delay threshold. We apply our methods to the commonly used sunspot data set and find strong evidence in favor of the Endogenous Delay Threshold Autoregressive (EDTAR) model over linear and traditional threshold autoregressions.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 21 (2003)
Issue (Month): 1 (January)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
Other versions of this item:
- Gary Koop & Simon M. Potter, 2004. "Bayesian analysis of endogenous delay threshold models," ESE Discussion Papers 11, Edinburgh School of Economics, University of Edinburgh.
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