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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Official URL: http://dx.doi.org/10.1198/073500102288618801
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 |
| 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: | 22 Mar 2012 06:24 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/6946 |
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