EconPapers    
Economics at your fingertips  
 

Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting

Michael Dueker, Martin Sola and Fabio Spagnolo

Discussion Papers from D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy

Abstract: This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Teräsvirta (1998), in which the regime weights depend on the ex ante probability that a latent regime-specific variable will exceed a threshold value. We argue that the contemporaneous model is well-suited to rational expectations applications (and pricing exercises), in that it does not require the initial regimes to be predetermined. We investigate the properties of the model and evaluate its finitesample maximum likelihood performance. We also propose a method to determine the number of regimes based on a modified Hansen (1992) procedure. Furthermore, we construct multiple-step ahead forecasts and evaluate the forecasting performance of the model. Finally, an empirical application of the short term interest rate yield is presented and discussed.

Keywords: Smooth Transition Threshold Autoregressive; Forecasting; Nonlinear Models (search for similar items in EconPapers)
JEL-codes: C22 E31 G12 (search for similar items in EconPapers)
Date: 2007-04-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24) Track citations by RSS feed

Downloads: (external link)
http://economia.uniparthenope.it/ise/sito/DP/DP_5_2007.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to economia.uniparthenope.it:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
Journal Article: Contemporaneous threshold autoregressive models: Estimation, testing and forecasting (2007) Downloads
Working Paper: Contemporaneous threshold autoregressive models: estimation, testing and forecasting (2006) Downloads
Working Paper: Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting (2006) Downloads
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: https://EconPapers.repec.org/RePEc:prt:dpaper:5_2007

Access Statistics for this paper

More papers in Discussion Papers from D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy Contact information at EDIRC.
Bibliographic data for series maintained by Antonietta Milano ( this e-mail address is bad, please contact ).

 
Page updated 2024-02-21
Handle: RePEc:prt:dpaper:5_2007