The RATS Software Forum • Bayesian Threshold VAR

Page 1 of 1

Bayesian Threshold VAR

Posted: Mon Mar 06, 2017 7:08 am

by Jules89

Dear Tom,

is there a possibility of estimating a threshold VAR by bayesian methods and if so is there a code available?

Thank you in advance

Jules

Re: Bayesian Threshold VAR

Posted: Tue Mar 07, 2017 12:47 pm

by TomDoan

Do you have a reference?

Re: Bayesian Threshold VAR

Posted: Wed Mar 08, 2017 6:37 am

by Jules89

Hey Tom,

here would be a reference:

http://www.tandfonline.com/doi/abs/10.1 ... 0802387894

Best

Jules