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Estimation and model selection procedures allow us to estimate and identify time\u2010varying non\u2010linearity in a VAR. The structural break threshold VAR (SBTVAR) predicts better the timing of recessions than models with constant threshold or with only a break. Using real\u2010time data, the SBTVAR with spread as leading indicator is able to anticipate correctly the timing of the 2001 recession. 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