کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096703 | 1478579 | 2011 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multivariate contemporaneous-threshold autoregressive models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Multivariate contemporaneous-threshold autoregressive models Multivariate contemporaneous-threshold autoregressive models](/preview/png/5096703.png)
چکیده انگلیسی
This paper proposes 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 also a function of the regime-specific noise covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 160, Issue 2, February 2011, Pages 311-325
Journal: Journal of Econometrics - Volume 160, Issue 2, February 2011, Pages 311-325
نویسندگان
Michael J. Dueker, Zacharias Psaradakis, Martin Sola, Fabio Spagnolo,