Threshold Vector Autoregression
Moderators: EViews Gareth, EViews Moderator
Threshold Vector Autoregression
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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