Search found 2 matches

by msvanidze
Wed Jul 01, 2015 7:06 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 106
Views: 102350

Re: Gregory-Hansen Cointegration Test

Thanks for this topic and code itself! I am not good with programming. I just copied your code, inserted it in new program file, and executed commands. however, in the very beginning I received such error message " GREGHANSEN is not a defined subroutine in “CALL GREGHANSEN(y,x, “AIC”, 6) ”. p.s...
by msvanidze
Sun Dec 07, 2014 9:34 am
Forum: Estimation
Topic: TAR model & asymmetric ECM
Replies: 14
Views: 7351

Re: TAR model & asymmetric ECM

Is there anybody to help me interpret TAR coefficients? Namely: "Above threshold", "Below threshold" and coefficients on differenced residuals. I am familiar with Asymmetric VECM and I know how to interpret its coefficients but there I got confused :(

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