Koop, G. and Potter, S.M. (2003) Bayesian analysis of endogenous delay threshold models. Journal of Business and Economic Statistics, 21, pp. 93-103. (doi: 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.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | UNSPECIFIED |
| Authors: | Koop, G., and Potter, S.M. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | Journal of Business and Economic Statistics |
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