We propose a novel dynamic mixture vector autoregressive (VAR) model in which timevarying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is increased if the current observation is more likely...

We propose a new class of spatio-temporal models with unknown and banded autoregressive coefficient matrices. The setting represents a sparse structure for high-dimensional spatial panel dynamic models when panel members represent economic (or other type) individuals at many different locations....

This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study...