Bayesian analysis of endogenous delay threshold models

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 data set and find strong evidence in favor of the EDTAR model over linear and tranditional threshold autoregressions.

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Year of publication:	2004-11
Authors:	Koop, Gary ; Potter, Simon M.
Institutions:	School of Economics, University of Edinburgh
Subject:	Nonlinearity \| Threshold Autoregression \| Markov Chain \| Monte Carlo \| Gibbs Sampler

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Extent:	application/pdf
Series:	ESE Discussion Papers.
Type of publication:	Book / Working Paper
Language:	Hungarian
Notes:	2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005369062