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THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Tests for a break in a linear regression based upon a threshold variable. Bruce E. Hansen, "Inference in TAR models", Studies in Nonlinear Dynamics and Econometrics,(1997).

Suggested Citation

  • Tom Doan, "undated". "THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break," Statistical Software Components RTS00210, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00210
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/threshtest.src
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