TY  - GEN
TI  - A New Approach Toward Detecting Structural Breaks in Vector Autoregressive Models
AB  - Incorporating structural changes into time series models is crucial during turbulent economic periods. In this paper, we propose a flexible means of estimating vector autoregressions with time-varying parameters (TVP-VARs) by introducing a threshold process that is driven by the absolute size of parameter changes. This enables us to detect whether a given regression coefficient is constant or time-varying. When applied to a medium-scale macroeconomic US dataset our model yields precise density and turning point predictions, especially during economic downturns, and provides new insights on the changing effects of increases in short-term interest rates over time.
UR  - https://arxiv.org/abs/1607.04532
PY  - 2017-01-01
AU  - Huber, Florian 
AU  - Kastner, Gregor 
AU  - Feldkircher, Martin 
ER -