SPECIFICATION SELECTION ISSUES IN MULTIVARIATE THRESHOLD AND SWITCHING MODELS

In this paper we consider two general approaches to the selection of thresholds in multivariate threshold models. The first criteria ignores the cross equation correlation while the latter explicitly accounts for it. We focus on how model selection may be influenced by these alternative approaches and consider simulations of the alternative approaches.

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Year of publication:	2002
Authors:	Serra, Teresa ; Goodwin, Barry K.
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Research Methods/ Statistical Methods

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Extent:	application/pdf
Series:	2002 Annual meeting, July 28-31, Long Beach, CA.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2002 Annual meeting, July 28-31, Long Beach, CA Number 19843
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005460259