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by Damba
Sat Nov 30, 2019 9:48 am
Forum: Looking for Code?
Topic: Looking for Threshold Cointegration code
Replies: 2
Views: 18679

Re: Looking for Threshold Cointegration code

Could you be more specific? There are five or six different procedures which make different assumptions about the type of break. The threshold cointegration code by Hansen and Seo (2002) using the a Lagrange multiplier (LM) test for the presence of a threshold effect will be appropriate for my anal...
by Damba
Wed Nov 27, 2019 1:16 pm
Forum: Looking for Code?
Topic: Looking for Threshold Cointegration code
Replies: 2
Views: 18679

Looking for Threshold Cointegration code

Dear All,
Can anyone assist me with the threshold cointegration code?

Thank you

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