NicolasR wrote:Maybe. To check how your transition function behaves you can select the option "Evaluation of the transition function" and this will give you the values that your transition function takes. If the function only takes two values then you will have a TAR model. Do you want the model to calculate forecasts? or for what purpose?
It does appear to take on more than two values. Primarily I am not interested in forecasting, but rather in explaining observed patterns in two time series. For example I have two time series which have exhibited a coupling behavior over some time, meaning they nearly converged in value. My theory is that this coupling pattern was triggered by an exogenous observed variable crossing some threshold. So I guess my interests lie in model selection primarily, because I'd like to argue that some particular transition/threshold variable is the most significant variable in determining the regime change.