*! version 1.0.0 03jun2026

Title

tnardllmult -- Cumulative dynamic multipliers after tnardll

Syntax

tnardllmult
[, options]

Main
horizon(#) horizon over which to trace the response; default horizon(24)

graph draw the multiplier paths

notable suppress the multiplier table

Graph
saving(filename) save the graph to filename

title(string) graph title

twoway_options any options of twoway (e.g. scheme(), xlabel())

tnardllmult is for use after tnardll.

Description

tnardllmult computes and (optionally) plots the cumulative dynamic
multipliers of the threshold ARDL model fitted by tnardll. For each
regime s it simulates the response of the level of the dependent
variable to a unit permanent change in that regime's partial-sum process
x(s), traced out from horizon 0 to horizon().

As the horizon grows each multiplier converges to the regime's long-run
coefficient

beta(s) = { theta(s) / rho,

exactly the quantities reported in the long-run table of tnardll. When
the model has S = 2 regimes the routine also returns the difference
path (regime 1 - regime 2), which summarises the asymmetric speed and shape
of adjustment to positive versus negative movements in the threshold variable.

Options

horizon(#) sets the number of periods over which the multipliers are
traced. The default is horizon(24). Must be a positive integer.

graph requests a line plot of the multiplier paths (one line per regime,
plus the dashed difference path when S = 2), with a reference line at zero.

notable suppresses the printed table of multipliers.

saving(filename) saves the graph to disk (passed to graph save);
implies graph.

title(string) overrides the default graph title.

twoway_options are passed through to twoway.

Remarks

The simulation uses the structural pieces stored by tnardll in
e(rho), e(theta), e(pimat) and (when p>1) e(phi).
It applies a one-unit step to regime s only, holds all other regimes at
zero, and accumulates the implied path of D.depvar into the level
response. Because the multipliers are deterministic transformations of the
fitted coefficients no standard errors are produced; quantify uncertainty by
bootstrap-ing the whole tnardll call if required.

The table prints every horizon up to 12 and every fourth horizon thereafter
(plus the final horizon) to stay compact; the full path is always returned in
r(mult).

Examples

Fit the model, then trace and plot 36-period multipliers:

. tnardll y x z, lags(2 2) qlr

. tnardllmult, horizon(36) graph

Table only, longer horizon, save the figure:

. tnardllmult, horizon(60) graph saving(mymults.gph) title("Asymmetric adjustment")

Recover the returned matrix for further work:

. tnardllmult, notable

. matrix M = r(mult)

Stored results

tnardllmult stores the following in r():

Matrices

r(mult) (horizon()+1) - by - (1 + S [+1 if S=2]) matrix;
column 1 is the horizon, the next S columns are the regime multipliers, and for
S=2 a final diff column holds the regime-1 - regime-2 path

Author

Dr Merwan Roudane

merwanroudane920@gmail.com

github.com/merwanroudane

See tnardll for the model, references, and the full list of
stored estimation results.

Also see

Estimation: tnardll

Postestimation: tnardlldiag (residual diagnostics)