Threshold Regression

[gpal]

Dear All,

Congrats to IHS for including in Eviews 9, threshold estimation in its options of times series estimation!!!
The question that I have is when introducing a number of variables as possible threshold variables "Threshold variable specification" based on which criterion the program selects the best variable combination. What is the reference and the literature review behind this selection? Please note that I am interested on the variables and not the threshold value per se.

Many thanks in advance,
George

[EViews Rebecca]

The threshold variable selection is based on SSR.