Quantile self-exciting threshold autoregressive time series models

In this paper we present a Bayesian approach to quantile self-exciting threshold autoregressive time series models. The simulation work shows that the method can deal very well with nonstationary time series with very large, but not necessarily symmetric, variations. The methodology has also been applied to the growth rate of US real GNP data and some interesting results have been obtained. Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.