TVAR model

[Scalper]

Hello,

I am estimating a TVAR model for my PHd Thesis, but i have some doubts, mainly, in apply the commands in RATS. I´ve never used it before.
Firstly, how can i know which variable is the threshold variable?! Through a Test Tsay?
Secondly, for the calculating of threshold Value, we use which method : Tsay Test or Hansen test or both?!

Then we know that, is it possible to do the Granger Causality for each Regime?

Yours Sincerely,

Joaquim Ferreira

[TomDoan]

The Tsay JASA 1998 examples are the best source for that, although the published results were wrong as described at:

http://www.estima.com/forum/viewtopic.php?f=8&t=1004

Given the threshold, you can run Granger causality tests on each branch since, conditional on the threshold, you can just do OLS estimation of the VAR equations.

[Scalper]

thank you TomDoan. But I though that the TSAY test it was only to determinate the delay paremeter.

how can i determinate the threshold Variable=??


Therefore, i can´t import my xls files to RATS and run the codes either. I dont know why. could you help me?

Thank you very much

yours sincerely,

[TomDoan]

thank you TomDoan. But I though that the TSAY test it was only to determinate the delay paremeter.

how can i determinate the threshold Variable=??

The largest LM test combination of delay and threshold variable would be the best choice.

Therefore, i can´t import my xls files to RATS and run the codes either. I dont know why. could you help me?

If you're having trouble reading your data set, you should contact support@estima.com.