Title

tc_setar -- SETAR(2) -- Self-Exciting Threshold Autoregressive model

Syntax

tc_setar varname [if] [in] [, lag(#) delay(#) threshold(#) trim(#) ngrid(#)]

Description

Two-regime SETAR with switching governed by y_ where d is
specified through delay(). If threshold(#) is omitted, the
optimal threshold is chosen by SSR minimisation over a trimmed grid.

Stored results

r(threshold), r(lag), r(nregime1), r(nregime2), r(ssr)

Also see

Package overview | tc_tar | tc_eqtar | tc_bbc | tc_tvecm