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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 set and find strong evidence in favor of the Endogenous Delay Threshold Autoregressive (EDTAR) model over linear and traditional threshold autoregressions.
Year of publication:
2003
Authors: Koop, Gary ; Potter, Simon M
Published in:
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 21.2003, 1, p. 93-103
Publisher: American Statistical Association
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005532295
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