Multivariate Contemporaneous Threshold Autoregressive Models

  title={Multivariate Contemporaneous Threshold Autoregressive Models},
  author={Michael J. Dueker and Zacharias Psaradakis},
In this paper we propose 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 a function of the regime-specific contemporaneous variance-covariance matrix, the model can… CONTINUE READING


Publications referenced by this paper.
Showing 1-10 of 34 references

Computing the joint spectral radius, Linear Algebra and its Applications

G. Gripenberg
View 5 Excerpts
Highly Influenced

Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes

E. Liebscher
Journal of Time Series Analysis • 2005
View 4 Excerpts
Highly Influenced

The Nonlinear Dynamics of Output and Unemployment in the U . S .

Filippo Altissimo, Giovanni L. Violante
View 7 Excerpts
Highly Influenced

The ACR model: a multivariate dynamic mixture autoregression

F. Bec, A. Rahbeck, N. Shephard
Oxford Bulletin of Economics and Statistics • 2008
View 5 Excerpts
Highly Influenced

On a Mixture Autoregressive Model

View 4 Excerpts
Highly Influenced

Selecting nonlinear time series models using information criteria, Journal of Time Series Analysis, forthcoming

Z. Psaradakis, M. Sola, F. Spagnolo, N. Spagnolo
View 1 Excerpt

Functional coefficient autoregressive models for vector time series

Computational Statistics & Data Analysis • 2006
View 2 Excerpts

Joint determination of the state dimension and autoregressive order for models with Markov regime switching

Z. Psaradakis, N. Spagnolo
Journal of Time Series Analysis • 2006

Similar Papers

Loading similar papers…