On Bayesian Analysis of Threshold Autoregressive Models
Threshold Autoregressive model: Bayesian approach
Estimate AR coefficients
Identification of lag order of threshold variable
Log-likelihood function
To draw the variance of error distribution.
Simulated data from TAR model
Calculate summary statistics for all parameters
To draw a threshold value.
Fit two-regime threshold autoregressive (TAR) models by Markov chain Monte Carlo methods.