The RATS Software Forum

Thanks moderator. You are right. I dont want to estimate breaks. I have already used 2 methods to estimate best breaks. First is using the code in sms_5_2.rpf (http://www.estima.com/forum/viewtopic.php?f=30&t=948&p=3583&hilit=nonlinear+impulse+responses#p3402). My break values are -150 a...

And to add to my previous question. Once I have accepted the presence of a threshold, is a model with one or two threshold preferable? Is there a procedure that gives a bootstrap p-value for a 1-threshold vs 2-threshold.

Thanks Tom

Thanks Tom for your quick reply.
Let me rephrase the question. Is there a procedure in RATS that gives me Hansen's bootstrap p-value, for an input of two known thresholds? I am not looking to estimate two thresholds, rather I want to check for the significance of different threshold values.

Tom,
If I am right, THRESHTEST tests only one structural break. Can THRESHTEST be used for testing 2 breaks (3 regimes)? If not, is there any simple way in RATS to get Hansens's bootstrapped p-values for 2 structural breaks?
Thanks

Ok. I understand. I estimated a SUR, with 2 equations. One with farm-gate prices and the other with domestic prices. linreg(define=eq1) DFGP # constant ECTPLUS ECTMINUS DOMD1PLUS DOMD1MINUS DFGP{1} dummy linreg(define=eq2) DDOM # constant DDOM{1 TO 2} sur(outsigma=v) 2 # eq1 ; # eq2 * group asymecm ...

Thanks so much for your help with the weak exogeneity test. I ran this model with the segmented variables on the right hand side. SYSTEM(MODEL=example1) VAR DFGP LAGS 1 DET Constant DOMD1PLUS DOMD1MINUS dummy ECTPLUS ECTMINUS END(SYSTEM) ESTIMATE(OUTSIGMA=S) This is the asymmetric ECM that I had est...

Thanks for your reply Tom. This is really helping me. In regards to weak exogeneity, I ran these feedback tests/Granger causality tests as you suggested: Δfgpt = ∝0 + ∝1 ECT t-1 + ∝2 Δdomt-1 + ∝3 Δfgpt-1 and did a joint test: ∝1= ∝2 =0 and the p-value was 0.036. and ∝1 was significant (p-value=0.01)...

Thats right. This is not in the context of VECM. According to Enders, Applied Econometric Time series 3ed, pg. 407, if a variable does not respond to the discrepancy from the long-run equilibrium relationship, it is weakly exogenous. In other words, if the speed of adjustment parameter (co-efficient...

Thanks Tom for the reply. How do I test for weak exogeniety without the + and - segmentation. A weak exogeneity test thats only for "fgp" and "dom" series of the form Δfgpt = ∝0 + ∝1 ECT t-1 + ∝2 Δdomt + ∝3 Δdomt-1 + ∝4 Δfgpt-1 Δdomt = β0 + β1 ECT t-1 + β2 Δfgpt + β3 Δfgpt-1 + β4...

Hi, I am estimating an asymmetric ECM between domestic and farm-gate prices of a commodity.I am not using a vector model here. The preliminary tests of unit root and co-integration suggest that both series are I(1) and co-integrated. According to theory and market structure, domestic prices are exog...