Bayesian analysis of endogenous delay threshold models

Gary Koop, Simon M. Potter

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Abstract

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
Volume21
Issue number1
DOIs
Publication statusPublished - 2003

Keywords

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

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