Kwon, Yongjae; Bozdogan, Hamparsum; Bensmail, Halima - In: Econometric Reviews 28 (2009) 1-3, pp. 83-101
This article presents a new Bayesian modeling and information-theoretic model selection criteria for threshold vector autoregressive (TVAR) models. The analytical framework of Bayesian modeling for threshold VAR models are developed. Markov Chain Monte Carlo (MCMC) simulation and...
