*
* RLS.PRG
* Based upon an example from Tsay, Analysis of Financial Time Series, pp 164-165
* Example from User's Guide, section 5.12
*
open data haversmp.rat
cal 1948 1 4
*
* The data series LR is the U.S. civilian unemployment rate
*
data(format=rats) 1948:1 1993:4 lr
graph
# lr
*
* Fix an ARIMA model as indicated in the text
*
boxjenk(diffs=1,sma=1,sar=1,ar=1) lr
*
* Test for a threshold effect on the first lag of the differenced
* unemployment rate.
*
diff lr / dlr
set thresh = dlr{1}
rls(order=thresh) dlr / rresids
# constant dlr{1 2}
linreg rresids
# constant dlr{1 2}
exclude(title='Arranged Autoregression Test for TAR')
# constant dlr{1 2}