nacrointfin wrote:Hi Tom:
Thanks for your quick response. So the procedures for Gonzalo and Pitarakis (2006) are:
1. Compute the Gonzalo and Pitarakis (2006) statistic by threshrest procedure in RATS or the thr_test procedure of Hansen(2000).
2. Get the asymptotic p-value of above statistic by the pv_sup procedure of Hansen(1997)(Approximate asymptotic p-values for structural change tests." Journal of Business and Economic Statistics).
Is that correct?
nacrointfin wrote:Besides, in RATS is there any procedure to test for threshold effects under multivariate framework like Gonzalo and Pitarakis(2006)(Threshold Effects in Multivariate Error Correction Models. In Terence C. Mills and Kerry Patterson (eds), Palgrave Handbook of Econometrics, Volume 1: Econometric Theory (pp. 578-609))?
Thanks in advance.
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