Bayesian Analysis of Endogenous Delay Threshold Models

Bayesian Analysis of Latent Threshold Dynamic Models

We discuss a general approach to dynamic sparsity modeling in multivariate time series analysis. Time-varying parameters are linked to latent processes that are thresholded to induce zero values adaptively, providing natural mechanisms for dynamic variable inclusion/selection. We discuss Bayesian model specification, analysis and prediction in dynamic regressions, timevarying vector autoregress...

Bayesian Analysis of Threshold Autoregressive Moving Average Models

In recent years non-linear models have been studied thoroughly and their analysis is facilitated due to increasing developments in computational methodologies. The classical Bayesian linear models are unable to reproduce some of the features frequently found in observed time series, e.g. non-linear processes exhibit such interesting properties as amplitude frequency dependence, limit cycle beha...

A Bayesian Analysis of Endogenous Switching Models for Count Data

Panel Threshold Regression Models with Endogenous Threshold Variables

This paper extends the panel threshold regression of Hansen (1999) and Kourtellos, Stengos and Tan (2007) to allow for endogeneity of the threshold variable. We consider the static linear panels with fixed effect. The modified concentrated two-stage least square methods that are based on inverse Mills ratio bias correction terms are proposed to estimate threshold parameters. Our estimators are ...

Bayesian Melding of Deterministic Models and Kriging for Analysis of Spatially Dependent Data

The link between geographic information systems and decision making approach own the invention and development of spatial data melding method. These methods combine different data sets, to achieve better results. In this paper, the Bayesian melding method for combining the measurements and outputs of deterministic models and kriging are considered. Then the ozone data in Tehran city are analyze...