TSAYTEST—Tsay Arranged Autoregression Test

[TomDoan]

@TSAYTEST performs an arranged regression test for threshold autoregression. This is based upon the recursive estimation of a regression with data points added in order based upon a desired threshold series. From Tsay(1989), "Testing and Modeling Threshold Autoregressive Processes", J. of American Statistical Association, vol 84, no 405, pp 231-240.

Detailed description

This is used in (for instance), the Balke-Fomby(1997) replication. It's also covered in the Structural Breaks and Switching Models e-course.