TAR/MTAR/ESTAR/LSTAR models

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ldemello
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Joined: Wed Jan 28, 2009 12:42 am

TAR/MTAR/ESTAR/LSTAR models

Postby ldemello » Sun Feb 15, 2009 10:26 pm

Hi there,
Could you please provide a brief sample program that estimates threshold cointegration models starting from the linear regression, the saving of the residuals,estimation of the lags for the MTAR model with and without the threshold (assume zero for one case and estimate the other).
thanks a lot
Lurion
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