Bayesian Analysis of Endogenous Delay Threshold Models
We 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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Volume (Year): 21 (2003)
Issue (Month): 1 (January)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Dynamic asymmetries in US unemployment,"
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15, Edinburgh School of Economics, University of Edinburgh.
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- Dennis W. Jansen & Wankeun Oh, 1999. "Modeling Nonlinearity of Business Cycles: Choosing Between the CDR and STAR Models," The Review of Economics and Statistics, MIT Press, vol. 81(2), pages 344-349, May.
- 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.
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