On Sat, 12 Mar 2011, Henrique Andrade wrote:

> *Y(t) = X(t-1) + e1(t); if z(t-d)>=tau*
> *Y(t) = X(t-1) + e2(t); if z(t-d)<tau*

If it's a TVAR I _think_ it should look more like

Y_t = D1 + B1(L)Y_t + I_t*(D2 + B2(L)Y_t) + U_t

where I_t = 1 if z(t-d) >= tau, otherwise 0.

Dear Allin, I need that the errors (and variances) differ in each regime:

Y_t = D1 + B1(L)Y_t + U1_t, if z(t-d) >= tau

Y_t = D2 + B2(L)Y_t + U2_t, otherwise

So I think I need to use the threshold values to build two data segments. To do this I'm doing something close to your script:

<script>

series z = normal()

scalar tau = 1.5

series r1 = z(-1) >= tau

series r2 = 1-r1

loop foreach i Y

series r1$i = zeromiss(r1 * $i)

series r2$i = zeromiss(r2 * $i)

endloop

list regime1 = r1PAU r1IAU r1E

list regime2 = r2PAU r2IAU r2E

</scrip>

Now I just need to estimate two separate VARs:

<script>

"VAR regime 1" <- var 1 regime1

"VAR regime 2" <- var 1 regime2

</scrip>

But we have missing observations... How can we handle this?

Finally, I would like to make one more question. Looking at your original code, we have, in the last line, this expression: var 1 Y ; r2*. What the symbol "*" (in r2*) means?

Best regards,

Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge