Threshold VAR Model

Reference sources

Reference material used for orientation; read primary and academic sources first when claims conflict.

1. [S1] Reference

   Tong (1990) introduced the SETAR framework for univariate threshold models, establishing the theoretical foundation.

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2. [S2] Reference

   Hansen (1996) derived the asymptotic theory for threshold estimation and the sup-LM test for threshold existence under nuisance-parameter problems.

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3. [S3] Reference

   Tsay (1998) extended threshold models to the multivariate VAR setting with a practical arranged autoregression test.

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4. [S4] Reference

   Hansen (2000) proved super-consistency of the threshold estimator and provided likelihood-ratio-based confidence intervals for gamma.

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5. [S5] Reference

   Balke (2000) applied the Threshold VAR to credit channels, documenting regime-dependent amplification of monetary shocks.

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6. [S6] Reference

   Lo and Zivot (2001) demonstrated threshold cointegration in interest rate dynamics.

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7. [S7] Reference

   Koop, Pesaran, and Potter (1996) developed generalized impulse response functions that account for regime switching induced by shocks.

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8. [S8] Reference

   Galvao (2006) proposed a Bayesian Threshold VAR with proper priors on the threshold and regime coefficients.

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