JSM 2005 Online Program

Abstract #302679

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Activity Number:	86
Type:	Invited
Date/Time:	Monday, August 8, 2005 : 8:30 AM to 10:20 AM
Sponsor:	Business and Economics Statistics Section
Abstract - #302679
Title:	Bayesian Analysis of Threshold Autoregressive Models
Author(s):	Hamparsum Bozdogan*+ and Yongjae Kwon and Halima Bensmail
Companies:	University of Tennessee and BBT and University of Tennessee
Address:	Dept. of Statistics, Operations, and Management Sciences, Knoxville, TN, 37996,
Keywords:	Threshold autoregressive models ; Bayesian modeling ; Model determination ; information criteria ; in-sample and out-of-sample forecasting
Abstract:	This paper presents a new Bayesian modeling and model selection procedure for threshold autoregressive models. The analytical framework of Bayesian modeling for a univariate SETAR and a threshold VAR models are developed. Markov Chain Monte Carlo (MCMC) simulation and importance/rejection sampling methods are used to estimate the parameters of the model and obtain posterior samples. Together with Bayes factors, we provide a large-scale simulation study and show the performance of some of the well known information criteria. Our results show these criteria might be good alternatives in small samples or to avoid heavy computational burden.

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