Fit a threshold cointegration regression between two time series.
Usage
ciTarFit(y, x, model = c("tar", "mtar"), lag, thresh,
small.win, ...)
Arguments
y
dependent or left-side variable for the long-run regression.
x
independent or right-side variable for the long-run regression.
model
a choice of two models: tar or mtar.
lag
number of lags for the threshold cointegration regression.
thresh
a threshold value.
small.win
value of a small window for fitting the threshold cointegration regression.
...
additional arguments to be passed.
Value
Return a list object of class "ciTarFit" with the following components:
ydependend variable
xindependent variable
modelmodel choice
lagnumber of lags
threshthreshold value
data.LRdata used in the long-run regression
data.CIdata used in the threshold cointegration regression
zresidual from the long-run regression
lzlagged residual from the long-run regression
ldzlagged residual with first difference from the long-run regression
LRlong-run regression
CIthreshold cointegration regression
f.phitest with the null hypothesis of no threshold cointegration
f.apttest with the null hypothesis of no asymmetric price transmission in the long run
ssevalue of sum of squared errors
aicvalue of Akaike Information Criterion
bicvalue of Bayesian Information Criterion.
Details
This is the main function for threshold autoregression regression (TAR) in assessing the nonlinear threshold relation between two time series variables. It can be used to estimate four types of threshold cointegration regressions. These four types are TAR with a threshold value of zero; consistent TAR with a nonzero threshold; MTAR (momentum TAR) with a threshold value of zero; and consistent MTAR with a nonzero thresold. The option of small window is used in model selection because a comparison of AIC and BIC values should be based on the same number of regression observations.
References
Balke, N.S., and T. Fomby. 1997. Threshold cointegration. International Economic Review 38(3):627-645.
Enders, W., and C.W.J. Granger. 1998. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics 16(3):304-311.
Enders, W., and P.L. Siklos. 2001. Cointegration and threshold adjustment. Journal of Business and Economic Statistics 19(2):166-176.