Contemporaneous Threshold Autoregressive Models : Estimation, Forecasting and Rational Expectations Applications

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Terasvirta (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

MoreLess

Year of publication:	2004
Authors:	Dueker, Michael ; Sola, Martin ; Spagnolo, Fabio
Publisher:	[S.l.] : SSRN
Subject:	Rationale Erwartung \| Rational expectations \| Prognoseverfahren \| Forecasting model \| Autokorrelation \| Autocorrelation \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Markov-Kette \| Markov chain
Description of contents:	Abstract [papers.ssrn.com]