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Bayesian analysis of endogenous delay threshold models

Koop, G.M. and Potter, S. (2003) Bayesian analysis of endogenous delay threshold models. Journal of Business and Economic Statistics, 21 (1). pp. 93-103. ISSN 0735-0015

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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.

Item type: Article
ID code: 6946
Notes: Working paper version
Keywords: gibbs sampler, markov chain, monte carlo method, nonlinearity, threshold autoregression, statistics, Probabilities. Mathematical statistics, Economic Theory, Economics and Econometrics, Social Sciences (miscellaneous), Statistics and Probability, Statistics, Probability and Uncertainty
Subjects: Science > Mathematics > Probabilities. Mathematical statistics
Social Sciences > Economic Theory
Department: Strathclyde Business School > Economics
Depositing user: Strathprints Administrator
Date Deposited: 03 Oct 2008
Last modified: 27 Mar 2015 07:23
URI: http://strathprints.strath.ac.uk/id/eprint/6946

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