David,
One way of running a threshold vector autoregression is to specify a regime dummy variable that determines whether you are in one regime or another. Then run the by regime: var ....
by regime: vec ....
Regards,
Bob Yaffee
Robert A. Yaffee, Ph.D.
2100 Linwood Avenue
Apt 19-W
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
----- Original Message -----
From: "Hamilton, David" <[email protected]>
Date: Thursday, December 16, 2004 4:43 pm
Subject: st: Threshold vector autoregression
> Hello, is anyone out there aware of any code fragments or
> tips/help on estimating threshold vector autoregressions in STATA
> (not to be confused with STATA's tvar)? I have thoroughly searched
> the web with no success (in fact I have found nothing on coding
> TVARs in any statistical package).
>
> Many thanks, David
>
>
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