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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
    Related URLs:
    Depositing user: Strathprints Administrator
    Date Deposited: 03 Oct 2008
    Last modified: 05 Sep 2014 13:37
    URI: http://strathprints.strath.ac.uk/id/eprint/6946

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