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Threshold and Smooth-Transition VAR/Evidence
Method evidence record

Threshold and Smooth-Transition VAR

Threshold VAR and Smooth-Transition VAR are nonlinear multivariate time-series models in which the coefficients of a vector autoregression switch between regimes according to a threshold variable. Building on Tsay's 1998 treatment of multivariate threshold models, they capture different dynamic structures across phases such as the business cycle, financial crises, or policy differences.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Threshold Vector Autoregression and Smooth-Transition Vector Autoregression (TVAR / STVAR)
Taxonomic method record · regression-model / econometrics
  • Tsay, R. S. (1998). Testing and Modeling Multivariate Threshold Models. Journal of the American Statistical Association, 93(443), 1188-1202. · DOI 10.1080/01621459.1998.10473779
  • Balcilar, M. et al. (2017). Regime-Dependent Effects of Uncertainty Shocks. Economic Modelling. · URL
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Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyARCH-LM Testmachine-suggested · Relational suggestion, not evidence.Same method familyEGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyGJR-GARCHmachine-suggested · Relational suggestion, not evidence.Same method familyMarkov-Switching Modelmachine-suggested · Relational suggestion, not evidence.Same method familyVAR Modelmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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