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

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: RATS
Requires: RATS 7.30
Keywords: Threshold; models (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/tar.src (text/plain)

Related works:
Journal Article: Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis (1996)
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