Multivariate Contemporaneous Threshold Autoregressive Models

descriptionPublicationkeyboard_double_arrow_right Article , Report , Research , Other ORP type , Other literature type , Preprint 01 Jan 2007 Italy, Spain, Argentina English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Michael J. Dueker; Zacharias Psaradakis; Martin Sola; Fabio Spagnolo;

doi: 10.2139/ssrn.986354 , 10.20955/wp.2007.019 , 10.1016/j.jeconom.2010.09.011

handle: 10261/35254 , 11336/188594 , 11570/3230291 , 2072/87975

Multivariate Contemporaneous Threshold Autoregressive Models

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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 innovation 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.

Countries

Italy, Spain, Argentina

Related Organizations

University of Messina
Italy
Brunel University London
United Kingdom
Torcuato di Tella University
Argentina
Russell Investments
United States
National Scientific and Technical Research Council
Argentina

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Keywords

Applications of statistics to actuarial sciences and financial mathematics, Nonlinear autoregressive models; Smooth transition; Stability; Threshold., THRESHOLD, Nonlinear autoregressive model; Smooth transition; Stability; Threshold., Nonlinear autoregressive models, Time-series analysis ; Capital assets pricing model, nonlinear autoregressive model, https://purl.org/becyt/ford/5.2, threshold, https://purl.org/becyt/ford/5, Nonlinear autoregressive model; Smooth transition; Stability; Threshold, smooth transition, Applications of statistics to economics, Nonlinear autoregressive model, STABILITY, NONLINEAR AUTOREGRESSIVE MODEL, Threshold, SMOOTH TRANSITION, stability, Economic time series analysis, Time series, auto-correlation, regression, etc. in statistics (GARCH), Teories no-lineals, Smooth transition, Stability, jel: jel:C32, jel: jel:G12

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Multivariate contemporaneous-threshold autoregressive models
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