EViews.com

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

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.