Multivariate Threshold Autoregressive (TAR) models | Installation | Install from GitHub | Install from CRAN | Application: Temperature, precipitation, and two river flows in Iceland | Dataset | Model specification | Parameter estimation | Model comparison using forecast accuracy measures | Adjusted within-sample | Out-of-sample with standard $h$-step-ahead forecasting | Out-of-sample with rolling-origin forecasting and fixed parameters | Summary of the best model | Residuals | Forecasting | Summary statistics | Convergence diagnostics | Geweke statistic | Effective sample size