Multivariate contemporaneous-threshold autoregressive models☆
Dueker, M.J. and Psaradakis, Zacharias and Sola, Martin and Spagnolo, F. (2011) Multivariate contemporaneous-threshold autoregressive models☆. Journal of Econometrics 160 (2), pp. 311-325. ISSN 0304-4076.
This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex-ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific noise covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.
|Keyword(s) / Subject(s):||Nonlinear autoregressive model, smooth transition, stability, threshold|
|School:||Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics|
|Research Centre:||Applied Macroeconomics, Birkbeck Centre for|
|Date Deposited:||28 Jan 2011 11:48|
|Last Modified:||07 Dec 2016 14:53|
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