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In the sense that if you initially introduce all possible variables (and lags) and you find that some of them are not statistically significant, you can take as the next step the estimation of the model without those non-significant variables. It is quite typical in order to smooth or "refine&q...

Thank you very much for the information.

Good evening

I would like to ask whether it is possible to derive impulse response functions from a threshold model. Thank you beforehand.

Good afternoon I have a question regarding threshold models. After including all variables in the specification, in case you find that a variable it not significant, how can you eliminate it? I am talking about eliminating variables that are not significant in the linear (nonlinear) part but signifi...