Threshold Vector Autoregression

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elmst616
Posts: 32
Joined: Fri Apr 29, 2016 2:36 pm

Threshold Vector Autoregression

Postby elmst616 » Sun May 20, 2018 7:46 pm

Hi I know that Eviews has the threshold regression package, which can be used for single equation threshold autoregressions (TAR), but can it handle vectors? I have two equations which I believe to be correlated. So I'd like to estimated a TVAR. Is there an Eviews package for this? I'm aware of the STAR package, but I'd like utilize a vector of two equations.

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