I need to implement the @THRESHTEST procedure allowing for heteroscedastic errors. I tried your advice to modify the @MULTIPLEBREAKS procedure and use the output with the @THRESHTEST but i am pretty sure i am doing something wrong because the results don't make sense.
Bruce E. Hansen made available the code for his threshold test with heteroscedastic errors that replicate his results in his paper "Inference in Threshold Models". The code is for GAUSS. I attach it here in the hopes that a RATS code for @THRESHTEST procedure allowing for heteroscedastic errors will become available soon. I simply do not know enough to translate the GAUSS code into a RATS code
Please do help if you can...
Many many thanks!!
Ana