Bayesian analysis of endogenous delay threshold models

Gary Koop, Simon M. Potter

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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.
Original languageEnglish
Pages (from-to)93-103
Number of pages11
JournalJournal of Business and Economic Statistics
Issue number1
Publication statusPublished - 2003


  • gibbs sampler
  • markov chain
  • monte carlo method
  • nonlinearity
  • threshold autoregression
  • statistics

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