Threshold endogeneity in threshold VARs : an application to monetary state dependence

Dimitris Christopoulos, Peter McAdam, and Elias Tzavalis

Year of publication:	[2023]
Authors:	Christopulos, Dēmētrēs K. ; McAdam, Peter ; Tzavalis, Elias
Publisher:	Kansas City, Mo. : Federal Research Bank of Kansas City
Subject:	VAR \| State Dependency \| Copula \| Monte Carlo \| Monetary Policy \| Impulse Response \| Davig-Leeper \| Geldpolitik \| Monetary policy \| VAR-Modell \| VAR model \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Schock \| Shock \| Multivariate Verteilung \| Multivariate distribution \| Risikomaß \| Risk measure \| Theorie \| Theory \| Schätzung \| Estimation

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