TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect
AbstractEstimates a self-exciting threshold autoregression, and computes asymptotic p-values for tests for the threshold effect. Bruce Hansen(1996), "Inference When a Nuisance Parameter is Not Identified Under the Null Hypothesis", Econometrica, vol 64, no. 2, 413-430.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00209.
Programming language: RATS
Requires: RATS 7.30
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
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