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 -