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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- Koop, Gary & Potter, Simon M, 1999.
"Dynamic Asymmetries in U.S. Unemployment,"
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- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006.
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Birkbeck Working Papers in Economics and Finance
0617, Birkbeck, Department of Economics, Mathematics & Statistics.
- Anthony Garratt & Gary Koop & ShaunP. Vahey, 2008. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, vol. 118(530), pages 1128-1144, 07.
- Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
- Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
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