search for: tvecm

...regime threshold cointegration in vector error correction model" by hansen and seo (2002) to estimate parameter. i have tried to reduce MLE , and it's succes. now i have A1(hat), A2(hat) with MLE and gamma(hat), beta(hat) with grid search from MLE. My problem, when i using function HanSeo_TVECM() in R, this function can't running, only to estimate linier cointegration (VECM). and if i using packade tsDyn version 0-8.1, function HanSeo_TVECM() not avaliable. however there are function TVECM() but this function using CLS for estimate parameter. whether the MLE and CLS estimation would r...

...covering this field. Main new features include: -added possibilty to have two thresolds and hence three regimes in setar and selectSETAR (arg nthresh) -new functions for unit roots tests: KapShinTest() and BBCTest() -new functions for estimating VAR and VECM: lineVar -new function for estimating TVECM: function TVECM() -new function for estimating TVAR: function TVAR() -new function to test for setar: function setarTest() -new function to test for TVAR: function TVAR.LRtest() -new function to test for TVECM: functions TVECM.SeoTest() and HanSeo_TVECM() -new function to simulate/bootstrap a TVAR...

...covering this field. Main new features include: -added possibilty to have two thresolds and hence three regimes in setar and selectSETAR (arg nthresh) -new functions for unit roots tests: KapShinTest() and BBCTest() -new functions for estimating VAR and VECM: lineVar -new function for estimating TVECM: function TVECM() -new function for estimating TVAR: function TVAR() -new function to test for setar: function setarTest() -new function to test for TVAR: function TVAR.LRtest() -new function to test for TVECM: functions TVECM.SeoTest() and HanSeo_TVECM() -new function to simulate/bootstrap a TVAR...

...ung\\.....") library("tsDyn") z<-(1:1000)### sequence parameter sink("prueba.txt") for (i in seq(z)) { P1<-read.csv("2R_EQ_P_R1.csv") P2<-read.csv("2R_EQ_P_R2.csv") c<-data.frame(P1[i],P2[i]) c.t<-ts(c)*-1 try(print(z[i])) try(SeoTest<-TVECM.SeoTest(c.t, lag=1, beta=1, trim=0.1, nboot=100)) try(summary(SeoTest)) rm(list=ls(all=TRUE)) ### Here I want to erase all but "z" } best, Sergio René [[alternative HTML version deleted]]

Hi, is anyone aware of estimation functions for threshold vector error correction / threshold cointegration models? I didn't find anything for R using RSeek or Google. Thanks a lot for any pointers, Werner __________________________________________________ Do You Yahoo!? hutz gegen Massenmails. http://mail.yahoo.com