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Multivariate Threshold Models: TVARs and TVECMs

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  • Galvão, Ana Beatriz C.

Abstract

In this paper, I review recent developments on modelling macroeconomic variables with non-linear VARs. Specifically, the class of threshold VARs, including systems with threshold cointegration, is discussed. Techniques for specification, estimation, testing, computing impulse responses and forecasting are presented, including hints for practitioners. In addition, I analyze recent results on the evaluation of this class of models, providing guidance on the application of these models. Finally, a TVAR is applied to extract the information of the spread to predict recessions; and a TVECM is employed to test threshold cointegration in the context of the term structure of interest rates.

Suggested Citation

  • Galvão, Ana Beatriz C., 2003. "Multivariate Threshold Models: TVARs and TVECMs," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(1), May.
    • Handle: RePEc:sbe:breart:v:23:y:2003:i:1:a:2734
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    2. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 10, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

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