Multivariate contemporaneous-threshold autoregressive models

Michael Dueker, Zacharias Psaradakis, Martin Sola and Fabio Spagnolo

Journal of Econometrics, 2011, vol. 160, issue 2, 311-325

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.

Keywords: Nonlinear; autoregressive; model; Smooth; transition; Stability; Threshold (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (14)

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Related works:
Working Paper: Multivariate Contemporaneous-Threshold Autoregressive Models (2010)
Working Paper: Multivariate Contemporaneous Threshold Autoregressive Models (2009)
Working Paper: Multivariate contemporaneous threshold autoregressive models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:160:y:2011:i:2:p:311-325

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