Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models

DOI10.1080/07474930802387894zbMATH Open1482.62093OpenAlexW1975764210MaRDI QIDQ3615079FDOQ3615079

Authors: Yongjae Kwon, Hamparsum Bozdogan, Halima Bensmail 

Publication date: 17 March 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802387894

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zbMATH Keywords

Bayesian modelingthreshold autoregressive modelsinformation-theoretic model selection criteria and model selection

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Information complexity criteria for detecting influential observations in dynamic multivariate linear models using the genetic algorithm
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• Cross-validation criteria for SETAR model selection

Cited In (4)

• Title not available (Why is that?)
• Bayesian analysis of multivariate threshold autoregressive models with missing data
• Forecasting with Multivariate Threshold Autoregressive Models
• Generalizing parametric models by introducing trial-by-trial parameter variability: the case of TVA

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