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Re: st: Threshold vector autoregression


From   Robert A Yaffee <[email protected]>
To   [email protected]
Subject   Re: st: Threshold vector autoregression
Date   Thu, 16 Dec 2004 20:01:03 -0500

David,
  One way of running a threshold vector autoregression is to specify a regime dummy variable that determines whether you are in one regime or another.  Then run the by regime: var ....
             by regime: vec ....
  Regards,
    Bob Yaffee

Robert A. Yaffee, Ph.D.
2100 Linwood Avenue
Apt 19-W
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]

----- Original Message -----
From: "Hamilton, David" <[email protected]>
Date: Thursday, December 16, 2004 4:43 pm
Subject: st: 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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