Forecasting for quantile self-exciting threshold autoregressive time series models

Biometrika

Volumn 97, Issue 1, 2010, Pages 199-208

  Cai, Yuzhi ^a  

^a UNIVERSITY OF PLYMOUTH   (United Kingdom)

Author keywords

Forecasting method; Monte Carlo method; Predictive density function; Quantile forecast

Indexed keywords

EID: 77249113227     PISSN: 00063444     EISSN: 14643510     Source Type: Journal    
DOI: 10.1093/biomet/asp070     Document Type: Article

References (15)

1. CAI, Y. (2003). Convergence theory of a numerical method for solving Chapman-Kolmogorov equation. SIAM J. Numer. Anal. 40, 2337-2351
2. CAI, Y. (2005). A forecasting procedure for nonlinear autoregressive time series models. J. Forecasting 24, 335-351
3. CAI, Y. (2007). A quantile approach to US GNP. Econ. Mod. 24, 969-979
4. CAI, Y. & STANDER, J. (2008). Quantile self-exciting autoregressive time series models. J. Time Ser. Anal. 29, 186-202.
5. CHAN, K. S. & TONG, H. (2002). A note on the equivalence of two approaches for specifying a Markov process. Bernoulli 8, 117-122
6. GRANGER, C.W. J. & TERÄSVIRTA, T. (1993). Modelling Nonlinear Economic Relationships. Oxford: Oxford University Press.
7. KOENKER, R. (2005). Quantiles Regression. Cambridge: Cambridge University Press.
8. KOENKER, R. & MACHADO, J. (1999). Goodness of fit and related inference processes for quantile regression. J. Am. Statist. Assoc. 94, 1296-1309.
9. KOENKER, R. & XIAO, Z. (2004). Unit root quantile autoregression inference. J. Am. Statist. Assoc. 99, 775-787
10. KOENKER, R. & XIAO, Z. (2006). Quantile autoregression. J. Am. Statist. Assoc. 101, 980-990
11. TONG, H. (1990). Non-linear Time Series, A Dynamical System Approach. Oxford: Oxford University Press.
12. TONG, H. & LIM, K. S. (1980). Threshold autoregression, limit cycles and cyclical data (with discussion). J. R. Statist. Soc. B 42, 245-292
13. WEISS, A. (1987). Estimating nonlinear dynamic models using least absolute error estimation. Economet. Theory 7, 46-68.
14. WONG, C. S. & LI, W. K. (2000). On a mixture autoregressive model. J. R. Statist. Soc. B 62, 95-115.
15. YAO, Q. & TONG, H. (1996). Asymmetric least squares regression estimation: a nonparametric approach. Nonparam. Statist. 6, 273-292