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

DOI10.1080/07474930802387894MaRDI QIDQ3615079zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
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• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Bayes factors and nonlinearity: Evidence from economic time series
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Cross-validation criteria for SETAR model selection
• Estimating the dimension of a model
• Information complexity criteria for detecting influential observations in dynamic multivariate linear models using the genetic algorithm
• Model selection in threshold models
• Multivariate Student-t regression models: Pitfalls and inference
• On the information-based measure of covariance complexity and its application to the evaluation of multivariate linear models
• Testing and Modeling Multivariate Threshold Models
• Testing and Modeling Threshold Autoregressive Processes
• Threshold models in non-linear time series analysis

Cited in

(4)

• scientific article; zbMATH DE number 2020787 (Why is no real title available?)
• 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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