| Title:
|
Multivariate smooth transition AR model with aggregation operators and application to exchange rates (English) |
| Author:
|
Bacigál, Tomáš |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
43 |
| Issue:
|
2 |
| Year:
|
2007 |
| Pages:
|
245-254 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
An overview of multivariate modelling based on logistic and exponential smooth transition models with transition variable generated by aggregation operators and orders of auto and exogenous regression selected by information criterion separately for each regime is given. Model specification procedure is demonstrated on trivariate exchange rates time series. The application results show satisfactory improvement in fit when particular aggregation operators are used. Source code in the form of Mathematica package is provided. (English) |
| Keyword:
|
multivariate STAR |
| Keyword:
|
aggregation operator |
| Keyword:
|
information criterion |
| Keyword:
|
exchange rates |
| MSC:
|
37M10 |
| MSC:
|
62M10 |
| MSC:
|
62P05 |
| idZBL:
|
Zbl 1131.62077 |
| idMR:
|
MR2343399 |
| . |
| Date available:
|
2009-09-24T20:23:22Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135770 |
| . |
| Reference:
|
[1] Calvo T., Kolesárová A., Komorníková, M., Mesiar R.: Aggregation operators: Properties, classes and construction methods.In: Aggregation Operators (T. Calvo, G. Mayor, and R. Mesiar, eds.), Physica–Verlag, New York 2002, pp. 3–140 Zbl 1039.03015, MR 1936383 |
| Reference:
|
[2] Dijk D. van, Teräsvirta, T., Franses P. H.: Smooth Transition Autoregressive Models – A Survey of Recent Developments.Econometric Institute Research Report EI2000-23, 2000 |
| Reference:
|
[3] Escribano A., Jordá O.: Improved testing and specification of smooth transition regression models.In: Nonlinear Time Series Analysis of Economic and Financial Data (P. Rothman, ed.), Kluwer, Boston 1999, pp. 289–319 MR 2478834 |
| Reference:
|
[4] Granger C. W. J., Teräsvirta T.: Modelling Nonlinear Economic Relationships.Oxford University Press, Oxford 1993 Zbl 0893.90030 |
| Reference:
|
[5] Harvey D. I., Leybourne S. J., Newbold P.: Testing the equality of prediction mean squared errors.Internat. J. Forecasting 13 (1997), 281–291 |
| Reference:
|
[6] Luukkonen R., Saikkonen, P., Teräsvirta T.: Testing linearity against smooth transition autoregressive models.Biometrika 75 (1988), 491–499 Zbl 0657.62109, MR 0967588 |
| Reference:
|
[7] Tsay R. S.: Testing and modeling multivariate threshold models.J. Amer. Statist. Assoc. 93 (1998), 1188–1202 Zbl 1063.62578, MR 1649212 |
| . |
