TSAYTEST: RATS procedure to perform Tsay arranged regression test for threshold autoregression (TAR)

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Does a Tsay arranged regression test for the presence of threshold autoregression (TAR). Tsay(1989), "Testing and Modeling Threshold Autoregressive Processes", JASA, pp 231-240.

Language: RATS
Requires: RATS 5.10
Keywords: Threshold model; stability tests (search for similar items in EconPapers)
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