TSAYJASA1998: RATS programs to replicate Tsay(1998)'s multivariate threshold results

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Tsay (1998), "Testing and Modeling Multivariate Threshold Models", J. of American Statistical Assn, vol. 93, no. 443, 1188-1202.

Language: RATS
Requires: RATS 11.00
Keywords: Threshold; VAR (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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