TVAR model and Tsay Test (1989)

[Scalper]

Estimation TVAR Model and Tsay test would be included in future

[EViews Gareth]

We need TAR before we get TVAR :D

[Scalper]

Surely , but i need a TVAR and SBTVAR for my Phd Thesis
Thus, i have to use the RATS

[EViews Gareth]

Might be easier to install R and the tsDyn package (its free!). I just did that, and then ran this EViews code:

Code: Select all

create m 1990 2000 series y=nrnd series x=nrnd series z=nrnd group g x y z xopen(r) xrun library("tsDyn") xput(rtype=ts) g xrun test<-TVAR(G, 2) xrun print(test)

Which seemed to estimate a 2 lag, 3 variable TVAR nicely.

[EViews Gareth]

Calling the R package was so easy, we knocked up a quick Add-in that does it for you:
http://eviews.com/Addins/addins.shtml

[Scalper]

i already did the download of the R programme, but i dont undestand anything. However, i went onto http://eviews.com/Addins/addins.shtml, but i cant open the file.

But i was thinking, if i do the exponential smoothing i will know the min of SSR, am i right?! then i can do the estimation a VAR Model until that Value and a VAR after this Value...

BUt it's impossible calculate the Grid Search of a Group of Variables, isn it?

regards

[EViews Gareth]

You need EViews 7.2 to run the Add-in.

You're right though, you can't do the grid search.

[Scalper]

i just have EViews 6... but in R , i guess that we cant do the Tsay test fo verify the Delays Parameters...I realy nead estimate a TVAR model for my thesis and i always thought it was possible estimate a TVAR in EViews...

Thus, i have to get the Eviews seven

Thank you