The RATS Software Forum

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

Thank you

Could you be more specific? There are five or six different procedures which make different assumptions about the type of break.

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