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Looking for Threshold Cointegration code

If you are seeking RATS code for implementing a particular technique or replicating results from a paper, post your request here. Be sure to include complete citations for any papers or books.
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Looking for Threshold Cointegration code

Unread postby Damba » Wed Nov 27, 2019 2:16 pm

Dear All,
Can anyone assist me with the threshold cointegration code?

Thank you
Damba
 
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Re: Looking for Threshold Cointegration code

Unread postby TomDoan » Wed Nov 27, 2019 7:09 pm

Could you be more specific? There are five or six different procedures which make different assumptions about the type of break.
TomDoan
 
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Re: Looking for Threshold Cointegration code

Unread postby Damba » Sat Nov 30, 2019 10:48 am

TomDoan wrote:Could you be more specific? There are five or six different procedures which make different assumptions about the type of break.


The threshold cointegration code by Hansen and Seo (2002) using the a Lagrange multiplier (LM) test for the
presence of a threshold effect will be appropriate for my analysis.

Thank you
Damba
 
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