Stata能做门限向量自回归模型(TVAR)吗？

可以试试 R 的 https://cran.r-project.org/web/packages/tsDyn/tsDyn.pdf。

Implements nonlinear autoregressive (AR) time series models. For univariate series, a non-parametric approach is available through additive nonlinear AR. Parametric modeling and testing for regime switching dynamics is available when the transition is either direct (TAR: threshold AR) or smooth (STAR: smooth transition AR, LSTAR). For multivariate series, one can estimate a range of TVAR or threshold cointegration TVECM models with two or three regimes. Tests can be conducted for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo 2006).

路遥知马力Y 发表于 2019-1-8 22:23
您好~能把TVAR模型的程序发我一份么~太感谢了。

请问您的问题解决了吗？小弟也想求教啊。

路遥知马力Y 发表于 2019-1-8 22:23
您好~能把TVAR模型的程序发我一份么~太感谢了。

请问您的问题解决了吗？小弟也想求教啊。

dengluancheng 发表于 2019-1-20 17:38
请问您的问题解决了吗？小弟也想求教啊。

没有解决呢

路遥知马力Y 发表于 2019-3-3 18:46
没有解决呢

TVAR你做出来了吗，最近也在研究

路遥知马力Y 发表于 2019-3-3 18:46
没有解决呢

TVAR你做出来了吗，最近也在研究