TARcoint
Posted: Sat Jan 04, 2014 10:13 am
Hi,
I am looking to use the adds in tarcoint in order to determine whether there is threshold cointegration from a money demand equilibrium relationship log(m-p) = c + log(gdp) + r + e.
Two questions:
1. Can i treat all variables except the constant as endogenous since there needs to be at least 2 endogenous series?
2. When examining the output, is the F-equal is testing whether rho1 = rho2? and F-Joint (phi) is testing whether rho1 = rho2 = 0?
Thanks,
Mike
I am looking to use the adds in tarcoint in order to determine whether there is threshold cointegration from a money demand equilibrium relationship log(m-p) = c + log(gdp) + r + e.
Two questions:
1. Can i treat all variables except the constant as endogenous since there needs to be at least 2 endogenous series?
2. When examining the output, is the F-equal is testing whether rho1 = rho2? and F-Joint (phi) is testing whether rho1 = rho2 = 0?
Thanks,
Mike