Bayesian analysis of endogenous delay threshold models

Koop, Gary and Potter, Simon M. (2003) Bayesian analysis of endogenous delay threshold models. Journal of Business and Economic Statistics, 21 (1). pp. 93-103. ISSN 0735-0015 (https://doi.org/10.1198/073500102288618801)

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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.

ORCID iDs

Koop, Gary ORCID: https://orcid.org/0000-0002-6091-378X

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• Item metadata

  Item type:	Article
  ID code:	6946
  Dates:	Date Event 2003 Published
  Notes:	Working paper version
  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:	11 Nov 2024 08:40
  URI:	https://strathprints.strath.ac.uk/id/eprint/6946