Dynamic Vector Mode Regression

Gordon C. R. Kempa, Paulo M. D. C. Parenteb & J. M. C. Santos Silvac*a Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, UK (); b ISEG-UL – Universidade de Lisboa; REM – Research in Economics and Mathematics; CEMAPRE – Centro de Matemática Aplicada à Previsão e Decisão Económica, Rua do Quelhas 6, 1200-781 Lisboa, Portugal (); c School of Economics, University of Surrey, Guildford GU2 7XH, UK ()