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st: Threshold vector autoregression


From   "Hamilton, David" <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: Threshold vector autoregression
Date   Thu, 16 Dec 2004 16:43:55 -0500

Title: Threshold vector autoregression

Hello, is anyone out there aware of any code fragments or tips/help on estimating threshold vector autoregressions in STATA (not to be confused with STATA's tvar)? I have thoroughly searched the web with no success (in fact I have found nothing on coding TVARs in any statistical package).

Many thanks, David



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