Search found 2 matches
- Wed Jul 01, 2015 7:06 am
- Forum: Program Repository
- Topic: Gregory-Hansen Cointegration Test
- Replies: 109
- Views: 420920
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...
- Sun Dec 07, 2014 9:34 am
- Forum: Estimation
- Topic: TAR model & asymmetric ECM
- Replies: 14
- Views: 14527
Re: TAR model & asymmetric ECM
Hello,
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
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