#2007-019A "Multivariate Contemporaneous Threshold Autoregressive Models"
by Michael J. Dueker, Zacharias Psaradakis, Martin Sola, and Fabio Spagnolo
May 2007

In this paper we propose 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. More...