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

DOI10.1080/07474930802387894zbMath1482.62093OpenAlexW1975764210MaRDI QIDQ3615079

Halima Bensmail, Yongjae Kwon, Hamparsum Bozdogan

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

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Statistical aspects of information-theoretic topics (62B10)

Related Items (2)

Bayesian analysis of multivariate threshold autoregressive models with missing data ⋮ Forecasting with Multivariate Threshold Autoregressive Models

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