Estimation of threshold time series models using efficient jump MCMC

Temisan D. Agbeyegbe () and Elena Goldman ()
Additional contact information
Elena Goldman: Lubin School of Business, Pace University

No 406, Hunter College Department of Economics Working Papers from Hunter College: Department of Economics

Abstract: This paper shows how a Metropolis-Hastings algorithm with efficient jump can be constructed for the estimation of multiple threshold time series of the U.S. short term interest rates. The results show that interest rates are persistent in a lower regime and exhibit weak mean reversion in the upper regime. For model selection and specification several techniques are used such as marginal likelihood and information criteria, as well as estimation with and without truncation restrictions imposed on thresholds.

New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2005, Revised 2005
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://arrow.hunter.cuny.edu/research/papers/HunterEconWP406.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:htr:hcecon:406

Access Statistics for this paper

More papers in Hunter College Department of Economics Working Papers from Hunter College: Department of Economics
Address: 695 Park Avenue, New York, NY 10065
Contact information at EDIRC.
Series data maintained by Jonathan Conning ().