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, either tar or mtar.
lag
number of lags.
th.range
the percentage of observations to be excluded from the search.
digits
number of digits used in rounding outputs.
...
additional arguments to be passed.
Value
Return a list object of class "ciTarThd" with the following components:
modelmodel choice
lagnumber of lags
th.rangethe percentage of observations excluded
th.finalthe best threshold value
ssefthe best (i.e., lowest) value of SSE
obs.tottotal number of observations in the raw data
obs.CInumber of observations used in the threshold cointegration regression
basica brief summary of the major outputs
patha data frame of the search record (number of regression, threshold value, SSE, AIC, and BIC values).
Details
The best threshold is determined by fitting the regression for possible threshold values, sorting the results by sum of squared errors (SSE), and selecting the best with the lowest SSE. To have sufficient observations on either side of the threshold value, certain percentage of observations on the top and bottoms are excluded from the search path. This is usually set as 0.15 by the th.range (Chan 1993).
References
Chan, K.S. 1993. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. The Annals of Statistics 21(1):520-533.
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.