SPECIFICATION SELECTION ISSUES IN MULTIVARIATE THRESHOLD AND SWITCHING MODELS

In this paper we consider two general approaches to the selection of thresholds in multivariate threshold models. The first criteria ignores the cross equation correlation while the latter explicitly accounts for it. We focus on how model selection may be influenced by these alternative approaches and consider simulations of the alternative approaches.


Issue Date:
2002
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/19843
Total Pages:
26
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-24

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