Looking for Threshold Cointegration code

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Damba
Posts: 2
Joined: Wed Apr 24, 2019 7:10 pm

Looking for Threshold Cointegration code

Unread post by Damba »

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

Thank you
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: Looking for Threshold Cointegration code

Unread post by TomDoan »

Could you be more specific? There are five or six different procedures which make different assumptions about the type of break.
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Damba
Posts: 2
Joined: Wed Apr 24, 2019 7:10 pm

Re: Looking for Threshold Cointegration code

Unread post by Damba »

TomDoan wrote: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 analysis.

Thank you
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