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 data set and find strong evidence in favor of the EDTAR model over linear and tranditional threshold autoregressions.
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Bibliographic InfoPaper provided by Edinburgh School of Economics, University of Edinburgh in its series ESE Discussion Papers with number 11.
Date of creation: Nov 2004
Date of revision:
Nonlinearity; Threshold Autoregression; Markov Chain; Monte Carlo; Gibbs Sampler.;
Other versions of this item:
- Koop, Gary & Potter, Simon M, 2003. "Bayesian Analysis of Endogenous Delay Threshold Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 93-103, January.
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