Contemporaneous Threshold Autoregressive Models : Estimation , Testing and Forecasting

@inproceedings{Dueker2006ContemporaneousTA,
  title={Contemporaneous Threshold Autoregressive Models : Estimation , Testing and Forecasting},
  author={Michael J. Dueker and Mart{\'i}n E. Garc{\'i}a Sol{\'a}},
  year={2006}
}
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… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 44 references

Threshold Autoregressions with a Unit

  • M. Caner, B. Hansen
  • Root, Econometrica
  • 1998
Highly Influential
7 Excerpts

Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates

  • W. Enders, C.W.J. Granger
  • Journal of Business and Economic Statistics
  • 1998
Highly Influential
7 Excerpts

Hypothesis Testing when a Nuisance Parameter is Present only under the Alternative

  • R. B. Davies
  • Biometrika
  • 1987
Highly Influential
5 Excerpts

On the use of the Deterministic Lyapunov Function for the Ergodicity of Stochastic Difference Equations

  • K. S. Chan, H. Tong
  • Advances in Applied Probability
  • 1985
Highly Influential
7 Excerpts

Inference when a Nuisance Parameter is not Identified under the Null Hypothesis

  • B. E. Hansen
  • 1996
Highly Influential
4 Excerpts

Modelling Nonlinear Economic Relationships

  • C.W.J. Granger, T. Teräsvirta
  • 1993
Highly Influential
5 Excerpts

The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP

  • B. E. Hansen
  • Journal of Applied Econometrics
  • 1992
Highly Influential
4 Excerpts

Forecasting Exponential Autoregressive Models of Order

  • M. S. Al-Qassam, J. A. Lane
  • Journal of Time Series Analysis
  • 1989
Highly Influential
5 Excerpts

Similar Papers

Loading similar papers…