LM test for ESTAR/LSTAR effects
Posted: Sun Aug 05, 2012 7:13 am
Dear RATS forum team,
Always thank you very much for your previous help. I really learnt lots.
Concerning on LM test for ESTAR/LSTAR effects:
How can I determine the value for D and P? Because the significance and F-statistics of H12 relies on the values of D and P.
I really appreciate your precious time and attention.
Thank you very much.
Best Regards
guo
Always thank you very much for your previous help. I really learnt lots.
Concerning on LM test for ESTAR/LSTAR effects:
Code: Select all
@StarTest( options ) y start end
Options
D=delay on threshold variable [1]
P=lags in the autoregression [1]I really appreciate your precious time and attention.
Thank you very much.
Best Regards
guo