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                Economics > Econometrics

                Title: A mixture autoregressive model based on Gaussian and Student's $t$-distributions

                Abstract: We introduce a new mixture autoregressive model which combines Gaussian and Student's $t$ mixture components. The model has very attractive properties analogous to the Gaussian and Student's $t$ mixture autoregressive models, but it is more flexible as it enables to model series which consist of both conditionally homoscedastic Gaussian regimes and conditionally heteroscedastic Student's $t$ regimes. The usefulness of our model is demonstrated in an empirical application to the monthly U.S. interest rate spread between the 3-month Treasury bill rate and the effective federal funds rate.
                Subjects: Econometrics (econ.EM); Statistics Theory (math.ST); Methodology (stat.ME)
                MSC classes: 62M10
                Cite as: arXiv:2003.05221 [econ.EM]
                  (or arXiv:2003.05221v3 [econ.EM] for this version)

                Submission history

                From: Savi Virolainen [view email]
                [v1] Wed, 11 Mar 2020 11:16:36 GMT (96kb,D)
                [v2] Tue, 17 Mar 2020 12:16:52 GMT (96kb,D)
                [v3] Fri, 22 May 2020 15:16:44 GMT (100kb,D)