Bayesian Analysis of Endogenous Delay Threshold Models

Gary Koop and Simon Potter

Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh

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 EDTAR model over linear and traditional threshold autoregressions.

Keywords: nonlinearity; threshold autoregression; Markov Chain Monte Carlo; Gibbs sampler (search for similar items in EconPapers)
Pages: 27
Date: 1999-08
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Bayesian Analysis of Endogenous Delay Threshold Models (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:edn:esedps:11

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