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Threshold and Smooth-Transition VAR/Ushahidi
Rekodi ya ushahidi wa mbinu

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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Threshold Vector Autoregression and Smooth-Transition Vector Autoregression (TVAR / STVAR)
Rekodi ya mbinu ya kiajenda · 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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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.

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Sources recorded, not reviewed

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