Em 12 de março de 2011 Peter <peter.summers(a)ttu.edu> escreveu:
FWIW, in a univariate TAR model the data gets re-ordered by (say) ascending
values of the threshold variable, then separate regressions get run
on the 2
sub-samples. Could this be done with an "msortby" command followed by smpl
commands?
Dear Peter, based upon Example 4.3 from the RATS Programming Mannual by
Walter Enders, I wrote a script that can be used to estimate a simple TAR
model with 2 regimes. Maybe you'd like to take a look in it.
Best,
--
*Henrique C. de Andrade*
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge