THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Tests for a break in a linear regression based upon a threshold variable. Bruce E. Hansen, "Inference in TAR models", Studies in Nonlinear Dynamics and Econometrics,(1997).

Language: RATS
Requires: RATS 7.30
Keywords: Stability tests; 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/threshtest.src (text/plain)

Related works:
Journal Article: Inference in TAR Models (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00210

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