Hello
I worked on threshold cointegration for my master thesis and wrote code
for R. This code will be published in a next release of package tsDyn,
when I will have time to finish it (there is a difference between using
its own code and making it avalaible on R... I did'nt realize there is
so much more work). You can download the actual code at
http://code.google.com/p/tsdyn/source/checkout and compile it yourself
(hope you are on Linux, otherwise it will take some time).
The code avalaible actually entails:
in a good form:
-OLS grid search estimator for TVECM and TVAR and methods (especiallay
nice latex exportation)
in a not in method implemented form:
-hansen seo linear against threshold test and theri estimator (MLE)
-seo test: no cointegration against threshold cointegartion
-hansen linearity test fot TAR and extension to multivariate case by Lo
and Zivot
-simple wald test fo the coefficients
-function to simulate and bootstrap TAR and TVAR
So see the doc pages (provisory) explore it and let me know if you need
more infos (auch auf deutsch m?glich)
Matthieu
> Message: 7
> Date: Tue, 12 Aug 2008 11:08:27 +0000 (GMT)
> From: Werner Wernersen <pensterfuzzer at yahoo.de>
> Subject: [R] Threshold vector error correction models
> To: r-help at stat.math.ethz.ch
> Message-ID: <939364.78339.qm at web23003.mail.ird.yahoo.com>
> Content-Type: text/plain; charset=iso-8859-1
>
> 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