Many structural break and regime-switching models have been used with macroeconomic and …nancial data. In this paper, we develop an extremely ‡exible parametric model which can accommodate virtually any of these speci…cations –and does so in a simple way which allows for straightforward Bayesian inference. The basic idea underlying our model is that it adds two simple concepts to a standard sta...

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models, and a range of linear specifications in addition to univariate models in which conditional heteroske...

We develop deep autoregressive networks with multi channels to compute many-body systems continuous spin degrees of freedom directly. As a concrete example, we demonstrate the two-dimensional XY model continuous-mixture and rediscover Kosterlitz–Thouless (KT) phase transition on periodic square lattice. Vortices characterizing quasi-long range order are accurately detected by generative model. ...

Adaptive exponential smoothing methods allow a smoothing parameter to change over time, in order to adapt to changes in the characteristics of the time series. However, these methods have tended to produce unstable forecasts and have performed poorly in empirical studies. This paper presents a new adaptive method, which enables a smoothing parameter to be modelled as a logistic function of a us...

A new procedure is developed for modelling and testing nonlinearity of a smooth transition form, allowing the possibility that the transition variable is a weighted function of lagged observations. This is achieved through use of a beta function and requires speci…cation of only the maximum permissable lag. Nonlinearity testing uses a search over the beta function parameters, with inference exp...

The asymmetric response of conditional variances to positive versus negative news has been traditionally modeled with threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One important property of this...

Estimation of the long-term health effects of air pollution is a challenging task, especially when modeling spatial small-area disease incidence data in an ecological study design. The challenge comes from the unobserved underlying spatial autocorrelation structure in these data, which is accounted for using random effects modeled by a globally smooth conditional autoregressive model. These smo...

This paper proposes a generalization of the nonlinear simultaneous equation model Pesaran and Pick (2007) by modelling comovement between two endogenous variables as smooth function magnitude variable rather than step function. The threshold speed at which shock is transmitted are estimated with other parameters model. We investigate properties an accurate estimation method takes into account e...