Hello
I worked on threshold cointegration for my master thesis and wrote code
for R. This code will be published in a next release of package tsDyn,
when I will have time to finish it (there is a difference between using
its own code and making it avalaible on R... I did'nt realize there is
so much more work). You can download the actual code at
http://code.google.com/p/tsdyn/source/checkout and compile it yourself
(hope you are on Linux, otherwise it will take some time).
The code avalaible actually entails:
in a good form:
-OLS grid search estimator for TVECM and TVAR and methods (especiallay
nice latex exportation)
in a not in method implemented form:
-hansen seo linear against threshold test and theri estimator (MLE)
-seo test: no cointegration against threshold cointegartion
-hansen linearity test fot TAR and extension to multivariate case by Lo
and Zivot
-simple wald test fo the coefficients
-function to simulate and bootstrap TAR and TVAR
So see the doc pages (provisory) explore it and let me know if you need
more infos (auch auf deutsch möglich)
Matthieu
Message: 7
Date: Tue, 12 Aug 2008 11:08:27 +0000 (GMT)
From: Werner Wernersen <[EMAIL PROTECTED]>
Subject: [R] Threshold vector error correction models
To: [EMAIL PROTECTED]
Message-ID: <[EMAIL PROTECTED]>
Content-Type: text/plain; charset=iso-8859-1
Hi,
is anyone aware of estimation functions for threshold vector error correction /
threshold cointegration models?
I didn't find anything for R using RSeek or Google.
Thanks a lot for any pointers,
Werner
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
