{"title":"Midastar:混合频率采样数据的阈值自回归","authors":"Kaiji Motegi, John Dennis","doi":"10.2139/ssrn.4286939","DOIUrl":null,"url":null,"abstract":"We propose Midastar models by combining the Mixed Data Sampling (MIDAS) and the threshold autoregression (TAR). The Midastar model of the (cid:12)rst kind is designed for a low frequency target variable and a high frequency threshold variable. The proposed model can detect threshold effects accurately, while the aggregated TAR has a risk of (cid:12)nding spurious non-threshold effects. The Midastar model of the (cid:12)rst kind has desired asymptotic and (cid:12)nite sample properties. We apply the proposed model to Japan’s COVID-19 data, detecting signi(cid:12)cant threshold effects. We also propose and elaborate the Midastar model of the second kind designed for a high frequency target variable and a low frequency threshold variable.","PeriodicalId":21855,"journal":{"name":"SSRN Electronic Journal","volume":"18 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Midastar: Threshold Autoregression with Data Sampled at Mixed Frequencies\",\"authors\":\"Kaiji Motegi, John Dennis\",\"doi\":\"10.2139/ssrn.4286939\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We propose Midastar models by combining the Mixed Data Sampling (MIDAS) and the threshold autoregression (TAR). The Midastar model of the (cid:12)rst kind is designed for a low frequency target variable and a high frequency threshold variable. The proposed model can detect threshold effects accurately, while the aggregated TAR has a risk of (cid:12)nding spurious non-threshold effects. The Midastar model of the (cid:12)rst kind has desired asymptotic and (cid:12)nite sample properties. We apply the proposed model to Japan’s COVID-19 data, detecting signi(cid:12)cant threshold effects. We also propose and elaborate the Midastar model of the second kind designed for a high frequency target variable and a low frequency threshold variable.\",\"PeriodicalId\":21855,\"journal\":{\"name\":\"SSRN Electronic Journal\",\"volume\":\"18 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"SSRN Electronic Journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.4286939\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"SSRN Electronic Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.4286939","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Midastar: Threshold Autoregression with Data Sampled at Mixed Frequencies
We propose Midastar models by combining the Mixed Data Sampling (MIDAS) and the threshold autoregression (TAR). The Midastar model of the (cid:12)rst kind is designed for a low frequency target variable and a high frequency threshold variable. The proposed model can detect threshold effects accurately, while the aggregated TAR has a risk of (cid:12)nding spurious non-threshold effects. The Midastar model of the (cid:12)rst kind has desired asymptotic and (cid:12)nite sample properties. We apply the proposed model to Japan’s COVID-19 data, detecting signi(cid:12)cant threshold effects. We also propose and elaborate the Midastar model of the second kind designed for a high frequency target variable and a low frequency threshold variable.
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