Tsay JASA 1998 Threshold VAR
Posted: Wed Mar 30, 2011 9:39 amThese 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
Iceland river flow example, program and data file
U.S. Interest Rates example, program and data file
usrates.rpf- (3.36 KiB) Downloaded 478 times
- usrates.xls
- (22.4 KiB) Downloaded 334 times
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