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.

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Official URL: http://dx.doi.org/10.1016/j.jeconom.2010.09.011

Abstract

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.

Metadata

Item Type:	Article
Keyword(s) / Subject(s):	Nonlinear autoregressive model, smooth transition, stability, threshold
School:	Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
Research Centres and Institutes:	Applied Macroeconomics, Birkbeck Centre for
Depositing User:	Administrator
Date Deposited:	28 Jan 2011 11:48
Last Modified:	02 Aug 2023 16:54
URI:	https://eprints.bbk.ac.uk/id/eprint/3001

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