Hansen's bootstrap to compute critical value of F-distributi

[Hshadmani]

Hello!

I am running an endogenous Threshold Regression using a grid search to find the best breakvalue. Now I want to compare this model to OLS through F-statistics. I know I should use Hansen's bootstrap method rather than the standard F-distribution table to compute critical value. I was wondering if there is any way to find the critical value in Rats using Hansen's bootstrap.

Thanks,

Hedieh

[TomDoan]

That's exactly what @THRESHTEST does.

[Hshadmani]

So the critical value is the Maximum F-test in the output?

[TomDoan]

Yes.

[Hshadmani]

Thank you!