Title

tc_tvecm -- Threshold Vector Error-Correction Model (2 regimes)

Syntax

tc_tvecm y1var y2var [if] [in] [, lag(#) trim(#) beta(#) ngrid(#) saveect(name)]

Description

Estimates a 2-regime threshold VECM by minimising the total SSR (sum across
equations) over a grid of ECT thresholds. If beta(#) is not given, the
cointegrating coefficient is estimated by OLS of y1 on y2.

Stored results

r(threshold), r(beta_est), r(lag), r(nregime1), r(nregime2), r(ssr), r(ect) (column vector of the ECT lagged once).

Example

tc_tvecm ln_inv ln_inc, lag(1) trim(0.05) ngrid(300)

Also see

Package overview | tc_hs | tc_sysadl | tc_setar | tc_plot