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Quantile self-exciting threshold autoregressive time series models / Yuzhi Cai, Julian Stander

journal of time series analysis, Volume: 29, Issue: 1, Pages: 186 - 202

Swansea University Author: Yuzhi Cai

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Abstract

<p>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 als...

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Published in: journal of time series analysis
ISSN: 1647-9892
Published: Blackwell Publishing Ltd 2008
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa7004
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Abstract: <p>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.</p>
Keywords: Bayesian methods; MCMC; quantile SETAR model; simulation; US GNP.
College: School of Management
Issue: 1
Start Page: 186
End Page: 202