Multivariate Contemporaneous Threshold Autoregressive Models

@inproceedings{Dueker2009MultivariateCT,
  title={Multivariate Contemporaneous Threshold Autoregressive Models},
  author={Michael J. Dueker and Zacharias Psaradakis},
  year={2009}
}
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

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