Artículo
Multivariate contemporaneous-threshold autoregressive models
Fecha de publicación:
02/2011
Editorial:
Elsevier Science SA
Revista:
Journal of Econometrics
ISSN:
0304-4076
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
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.
Palabras clave:
NONLINEAR AUTOREGRESSIVE MODEL
,
SMOOTH TRANSITION
,
STABILITY
,
THRESHOLD
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Articulos(SEDE CENTRAL)
Articulos de SEDE CENTRAL
Articulos de SEDE CENTRAL
Citación
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio; Multivariate contemporaneous-threshold autoregressive models; Elsevier Science SA; Journal of Econometrics; 160; 2; 2-2011; 311-325
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