I want to estimate this model in order to analyze the effects of some macroeconomics variables during good time and bad time.
Under Eviews you can estimate an STR model using the same dialog as discrete Threshold Regression. Open an existing equation or select Quick/Estimate Equation... from the main EViews menu, select THRESHOLD - Threshold Regression from the main Method dropdown menu near the bottom of the dialog, and click on the Smooth radio button in the Threshold type setting. More on this: http://www.eviews.com/help/helpintro.html#page/content/star-Estimating_a_Smooth_Transition_Regression_in_EVi.html
Does the Eviews environment, which estimates STAR, also allows to estimate the multivariate case STVAR? Thanks.
I have another question, do you have STAR code in matlab or R software?
If you want to estimate a STVAR, you need Matlab and you have to code.
Stata and Eviews are not suitable for this methodolgy. Note that you need MCMC and so it is time and resource consuming.
Have you tried Jmulti? R? For Smooth TAR check this link: http://www.jmulti.de/download/help/str.pdf
Do you have the MATLAB codes associated with the Smooth Transition VAR model?
- Badges
- Science topic
- Similar topics
- Mathematics
- Applied Mathematics