Bayesian analysis of endogenous delay threshold models

Gary Koop, Simon M. Potter

Research output: Contribution to journalArticle

13 Citations (Scopus)

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.
LanguageEnglish
Pages93-103
Number of pages11
JournalJournal of Business and Economic Statistics
Volume21
Issue number1
DOIs
Publication statusPublished - 2003

Fingerprint

Threshold Autoregressive Model
Threshold Model
Bayesian Analysis
Sunspots
Autoregression
Bayesian Methods
evidence
Threshold autoregressive model
Threshold model
Bayesian analysis
Evidence
Class
Threshold autoregression
Bayesian methods

Keywords

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

Cite this

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Bayesian analysis of endogenous delay threshold models. / Koop, Gary; Potter, Simon M.

In: Journal of Business and Economic Statistics, Vol. 21, No. 1, 2003, p. 93-103.

Research output: Contribution to journalArticle

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