Multivariate contemporaneous-threshold autoregressive models

DOI10.1016/j.jeconom.2010.09.011zbMath1441.62672OpenAlexW3123861484MaRDI QIDQ737288

Michael J. Dueker, Fabio Spagnolo, Zacharias Psaradakis, Martin Sola

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.utdt.edu/download.php?fname=_125201361827983200.pdf

zbMATH Keywords

stabilitynonlinear autoregressive modelthresholdsmooth transition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (6)

Penalized estimation of threshold auto-regressive models with many components and thresholds ⋮ Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities ⋮ Gaussian mixture vector autoregression ⋮ Testing for observation-dependent regime switching in mixture autoregressive models ⋮ Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model ⋮ A Gaussian Mixture Autoregressive Model for Univariate Time Series

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