Bayesian Analysis of Endogenous Delay Threshold Models

Gary Koop and Simon Potter

Journal of Business & Economic Statistics, 2003, vol. 21, issue 1, 93-103

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.

Date: 2003
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Working Paper: Bayesian Analysis of Endogenous Delay Threshold Models (1999)
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