How can I modify Hansen and Soe 2002 rats code to run three regime threshold cointegration model (if two thresholds are identified) and perform impulse response analysis in such three regime model?
Any help is much appreciated.
mskare69 wrote:Thanks for a quick response. Let me rephrase the question. Is there a completed code in Rats that I can use to run TVECM with two thresholds (three regimes). Can I use some of the codes (5.1, 5.2, 5.3) from the last Estima course study to run the whole thing - testing for threshold cointegration, estimating TVECM and doing impulse response of the model.
ege_man wrote:Dear Tom
Is it possible to modify this code to estimate cointegration in a five-variable model?
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