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Hi, i am looking to estimate a TAR model and to search for the threshold value of the dependent variable using the Chan (1993) methodology*. I try the following code: vector(67) ssr_result for !i=1 to 67 genr h_!i=0 genr tau_!i=@elem(y, !i) smpl 2 67 if y(-1)>=tau_!i genr h_!i=1 smpl 2 67 equation t...

Thanks for the inputs Glenn and Trubador, also thank you for the reference.

i will take this to my data and program accordingly.

Mike

Thanks Glenn. This was a useful link. However, i wish the threshold to be determined by the data. I have tried using the @inlist function yet this does not report the threshold parameter. So then i have also try the @between function which reports a parameter estimate of zero so again i feel this ma...

Hi,

I am looking to estimate a threshold autoregression (TAR) model. I was wondering how one would create an indicator function such that if the value of the transition variable is less than or equal the threshold, the indicator is equal to one (and zero otherwise)

thanks,

M

Thanks Glenn.

Hi, I am wondering if this is valid: 1. Take the residuals from an OLS regression and make a series, say resid01 2. Then inputting the code: "coint(method = eg, trend =0) resid01" I have been told i can do this with the PO test and wondered if the same held for this method of test. Thanks, M

Apologies for not making myself clear. having estimated a linear ECM of the form: ∆pt=β0+β1∆p(-1)+β2x(-1)+β3∆m(-1)+β4EC(-4)+u where EC is the error correction term from a long run relationship. i wish to test against a smooth transition EC model of the form: ∆pt= π1'wt+π2'wt F(z(t-d))+ηt in order to...

Hi, I am having trouble estimating the following nonlinear model: ∆y_t=φ'w_t+φ'w ̃_t*z_(t-d)+φ'w ̃_t* z_(t-d)^2+φ'w ̃_t*z_(t-d)^3+η_t where _t is the time subscript and d is the delay parameter, η_t is the error term which is niid (0, σ^2) . w is the original regressors in the linear EC model eq w =...

Thanks! Thought I was correct!

Best,

Mike

Hi, I am looking to use the adds in tarcoint in order to determine whether there is threshold cointegration from a money demand equilibrium relationship log(m-p) = c + log(gdp) + r + e. Two questions: 1. Can i treat all variables except the constant as endogenous since there needs to be at least 2 e...