Fwd: HELP ON tsdyn

[Antonio, Fabio Di Narzo]

Dear Murthy,
I'm forwarding your message to the package mailing list, where you
might find help.

hth,
f.

---------- Forwarded message ----------
From: Murthy, Vasudeva N. <Vasudev...@creighton.edu>
Date: 2011/10/11
Subject: HELP ON tsdyn
To: "antoni...@gmail.com" <antoni...@gmail.com>

Dear Sir,

Currently, I am using tsDyn program on my R2.12 to estimate a three
regime SETAR model(Kapshin Unit root tests,2006). When I implement the
test, I get most of the results except the estimated  Beta-hats( their
t-values) in both Asymmetric and Symmetric 3-Regime SETAR Model( See,
Table 7(Page 270) in Kapetanios and Shin, Econometrics Journal,2006,
Vol.9, pp.252-278.. Is there a separate program to estimate them. I
would really appreciate your help in this regard.

N.R. Vasudeva Murthy

Creighton University

Omaha, Nebraska

vmu...@creighton.edu

--
Antonio Fabio Di Narzo, PhD.
Swiss Institute for Bioinformatics - Bioinformatics Core Facility
Office 2029, Génopode, Quartier Sorge
CH-1015 Lausanne, Switzerland
Tel: +41 21 692 4087
Fax: +41 21 692 4065

[Matthieu Stigler]

Dear Vasudeva

Sorry for the delayed answer.

To helps us help you, you should be more explicit on which function you are using, at best giving a self reproducible answer.

The unit-root test comes with a warning, as I have not been able to check its results against those from the authors.

If you want however to see the t-values, you can simply use the function setar as following:

dat<-rnorm(100)
 model<-setar(dat, nthresh=2, m=1,type="ADF")
summary(model)


hope this helps you?

Best regards

Matthieu

2011/10/12 Antonio, Fabio Di Narzo <antoni...@gmail.com>