Abstract
Abstract. This paper considers the problem of subset model selection for time series. In general, a few lags which are not necessarily continuous, explain lag structure of a time‐series model. Using the reversible jump Markov chain technique, the paper develops a fully Bayesian solution for the problem. The method is illustrated using the self‐exciting threshold autoregressive (SETAR), bilinear and AR models. The Canadian lynx data, the Wolfe's sunspot numbers and Series A of Box and Jenkins (1976) are analysed in detail.
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