Title

tc_tar -- TAR / MTAR model fit on cointegrating residuals

Syntax

tc_tar resvar [if] [in] [, model(tar|mtar) threshold(#) maxlag(#) criterion(aic|bic)]

Description

Fits the two-regime TAR / MTAR adjustment model on the residual series
from a cointegrating regression (use tc_eg first, then
predict resid, residual).

Stored results

r(phi_stat) r(rho1) r(rho2) r(t_rho1) r(t_rho2) r(f_asymmetry) r(threshold) r(lags)

Also see

Package overview | tc_es | tc_eqtar | tc_setar | tc_plot