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 EDTAR model over linear and traditional threshold autoregressions.
|Date of creation:||Sep 2000|
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- Koop, Gary & Potter, Simon M, 1999.
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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. Full references (including those not matched with items on IDEAS)