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 model.
x
independent or right-side variable for the long-run model.
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 1st difference from long-run model
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.