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TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect


  • Tom Doan

    () (Estima)

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Estimates 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.

Suggested Citation

  • Tom Doan, "undated". "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00209
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    Threshold models; RATS;


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