I posted the code re LSTAR estimation around April 2004. It should be somewhere there.
Best,
Si
Dnia 13-12-2005 o godz. 19:57 Went Peter napisał(a):
> Dear Oxperts,
>
> I would like to get in contact with fellow Oxperts who have modeled
> or programmed the MTAR or TAR methodology using Ox. As there are
> alternative definitions, I refer to the model described in ----> Tsay,
> R.S.
> (1989), Testing and Modeling Threshold Autoregressive Processes, Journal
> of
> the American Statistical Association 84, 231-240.
>
> While the MTAR TAR codes are available for both GAUSS and RATS, I
> would like to exchange ideas about the best procedure to implement the
> procedure in Ox.
>
> Any of your suggestions are appreciated.
>
> Best regards and all good wishes,
>
> Peter Went
>
> ----
> Peter Went, PhD, CFA
> Bucknell University
> Lewisburg, PA, 17837
>
> * 570.577.3421 office * 570.577.1338 fax * 570.768.3004 cell *
> 202.470.2706
> home * Karma means that you do not get away with anything. *
>
Es geht dem Ende zu - The end is drawing near.
the last words found in the diary of a german officer after the Stalingrad has fallen.
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