TAR based on Enders and Granger (1998)

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chinxmint
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Joined: Thu Feb 05, 2015 8:21 pm

TAR based on Enders and Granger (1998)

Postby chinxmint » Thu Feb 05, 2015 8:42 pm

Hi, does anyone know if i can do TAR as mentioned in Enders and Granger (1998) on eviews.
The dependent variable is PriceA and independent variable is PriceB. i have done the Engle-Granger Cointergation and now i need codes to do a threshold autoregression.

Thank you
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trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: TAR based on Enders and Granger (1998)

Postby trubador » Fri Feb 06, 2015 12:55 am

That is for unit root test, if I recall correctly. As for implementation of TAR model within the context of cointegration, you may use Cointegration and Threshold Adjustment add-in.
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