方法证据记录
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.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Threshold Vector Autoregression and Smooth-Transition Vector Autoregression (TVAR / STVAR)
分类方法记录 · 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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