Title

tc_eqtar -- 3-regime EQ-TAR / Band-TAR / RD-TAR (Balke-Fomby 1997)

Syntax

tc_eqtar resvar [if] [in] [, type(eq|band|rd) threshold(#) maxlag(#) trim(#) ngrid(#)]

Description

Three-regime AR adjustment:

Regime low : e_ <= -τ

Regime mid : -τ < e_ < τ

Regime high : e_ >= τ

type(eq) / type(band) estimate AR coefficients by regime
(Balke & Fomby's equilibrium / band-TAR). type(rd) fits the
returning-drift specification: regime-specific intercepts with
unit-root behaviour in all regimes.

Threshold

If threshold(#) is omitted, the optimal τ is selected by
SSR-minimisation over a grid trimmed at trim() from each side.

Also see

Package overview | tc_tar | tc_setar | tc_bf | tc_plot