Quantile self‐exciting threshold autoregressive time series models

Yuzhi Cai and Julian Stander

Journal of Time Series Analysis, 2008, vol. 29, issue 1, 186-202

Abstract: Abstract. In this paper we present a Bayesian approach to quantile self‐exciting threshold autoregressive time series models. The simulation work shows that the method can deal very well with nonstationary time series with very large, but not necessarily symmetric, variations. The methodology has also been applied to the growth rate of US real GNP data and some interesting results have been obtained.

Date: 2008
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https://doi.org/10.1111/j.1467-9892.2007.00551.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:1:p:186-202

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