Bayesian Threshold VAR

Discussion of models with structural breaks or endogenous switching.
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Jules89
Posts: 140
Joined: Thu Jul 14, 2016 5:32 am

Bayesian Threshold VAR

Unread post 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
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Bayesian Threshold VAR

Unread post by TomDoan »

Do you have a reference?
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Jules89
Posts: 140
Joined: Thu Jul 14, 2016 5:32 am

Re: Bayesian Threshold VAR

Unread post by Jules89 »

Hey Tom,

here would be a reference:

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



Best

Jules
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