Can someone help me with the PYTHON code for this Self-Exciting Threshold Autoregressive model (SETAR)?
Safiul Haque Chowdhury
pip install setar
import numpy as np
import setar
# Generate some sample data
np.random.seed(0)
n = 200
x = np.random.randn(n)
# Introduce a threshold at index 100
x[100:] += 1
# Fit a SETAR model
model = setar.SETAR(x, p=2, d=0, q=0, k=1)
model.fit()
# Print the estimated threshold and coefficients
print("Estimated Threshold:", model.threshold)
print("Estimated Coefficients:", model.coeffs)
Use this in ayny Python Enviroment
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