Contemporaneous threshold autoregressive models
Subtitle: estimation, forecasting, and rational expectations applications
By: Michael Dueker, Martin Sola, and Fabio Spagnolo.
Contributors: Sola, Martin, 1960-; Spagnolo, Fabio, 1969-; Federal Reserve Bank of St. Louis.
Series: Working paper ;; 2003-024B; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2003-024B.
Publisher: Federal Reserve Bank of St. Louis
Published: 2003
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Regression analysis.
Description: "This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Ters̃virta (1998).  Because it uses a forward-looking approach to weight the regimes, in contrast to the typical lagged threshold model, the C-STAR model is well-suited to forward-looking rational expectations applications, such as bond pricing.  We present an application to the pricing of bonds under the Expectations Hypothesis with a C-STAR driving process for the short-term rate"--Federal Reserve Bank of St. Louis web site.
Notes: Includes bibliographical references.
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