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Strathprints serves world leading Open Access research by the University of Strathclyde, including research by the Strathclyde Institute of Pharmacy and Biomedical Sciences (SIPBS), where research centres such as the Industrial Biotechnology Innovation Centre (IBioIC), the Cancer Research UK Formulation Unit, SeaBioTech and the Centre for Biophotonics are based.

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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.