Tsay JASA 1998 Threshold VAR

[TomDoan]

These are "replications" for Tsay (1998), "Testing and Modeling Multivariate Threshold Models", J. of American Statistical Assn, vol. 93, no. 443, 1188-1202. Note that the calculations in the paper had a serious programming error with the log likelihoods being computed incorrectly. (I'm fairly sure that instead of using - T/2 log |Sigma|, they used - T/2 log |T Sigma|). This forced the estimates towards breaks that are roughly equally spaced. The calculations here use the proper likelihoods.

U.S. Interest Rates example, program and data file

usrates.rpf

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usrates.xls

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Iceland river flow example, program and data file

iceland_river.rpf

(1.99 KiB) Downloaded 273 times

iceland_river.xls

(107.5 KiB) Downloaded 263 times