Multivariate Threshold Models: TVARs and TVECMs*

In this paper, I review recent developments on modelling macroeconomic variables with non-linear VARs. Specifically, the class of threshold VARs, in cluding systems with threshold cointegration, is discussed. Techniques for spec ification, estimation, testing, computing impulse responses and forecasting are presented, including hints for practitioners. In addition, I analyze recent results on the evaluation of this class of models, providing guidance on the application of these models. Finally, a TVAR is applied to extract the information of the spread to predict recessions; and a TVECM is employed to test threshold cointegration in the context of the term structure of interest rates. Resurno Nesse artigo, eu fac;o uma resenha sabre as contribuic;5es recentes em roo delagem de variaveis macroeconomicas usando modelos VAR nao-lineares. Es pecificamente, os modelos chamados "Threshold VAR " sao discutidos, alem de modelos que permitam "threshold cointegration". Tecnicas para estimar, es pecificar, testar, calcular func;;oes de impulso-resposta, e preyer sao apresentadas, incluindo algumas dicas para pesquisadores. AMm disso, eu analiso as resulta dos da avalia<.(ao desses modelos realizados recentemente, de forma a orientar a aplicac;ao desses modelos. Finalmente, urn TVAR e aplicado para extrair in formac;;ao do spread para preyer recessoesj e urn TVECM e empregado para testar "threshold cointegration " no contexto da estrutura a termo da taxa de juros. Key Words: threshold vector autoregressive models, threshold co integration