On inference for threshold autoregressive models |
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| Authors: | Osnat Stramer Yu-Jau Lin |
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| Affiliation: | (1) Department of Statistics and Actuarial Science, University of Iowa, Iowa City, IA, USA |
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| Abstract: | We provide a complete Bayesian method for analyzing a threshold autoregressive (TAR) model when the order of the model is unknown. Our approach is based on a version (Godsill (2001)) of the reversible jump algorithm of Green (1995), and the method for estimating marginal likelihood from the Metropolis-Hasting algorithm by Chib and Jeliazkov (2001). We illustrate our results with simulated data and the Wolfe’s sunspot data set. This research is supported in part by NSF Grant SCREMS 0112219. |
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| Keywords: | Bayesian model comparison reversible jump threshold autoregression Wolfe’ s sunspot |
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