SPECIFICATION SELECTION ISSUES IN MULTIVARIATE THRESHOLD AND SWITCHING MODELS

Teresa Serra and Barry Goodwin ()

No 19843, 2002 Annual meeting, July 28-31, Long Beach, CA from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: 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.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 26
Date: 2002
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea02:19843

DOI: 10.22004/ag.econ.19843

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