Testing this hypothesis

[Sci_Fi_Morning]

hey all,

i am given this hypothesis to test using eviews. it goes like:

"test the effect of inflation on stock returns depends on if the inflation is either going up or down".

Now i was wondering which models should i use?

MTAR, TAR or Consistent MTAR? And how would i go in tackling the question, like for eg, specifying the threshold parameters etc.

Thanks