The user guide goes on to say that "We caution you that the approaches based on testing should be viewed as informal in the TAR setting as the lagged endogenous regressors in the model are themselves subject to structural breaks which violates the assumptions for the Sup-F statistics (Hansen, 2000 Hansen, 1999)." Elmst616 wrote:I read in the user guide that the methodology is based on the methodologies of Bai and Perron (1998), and not the fixed regressor bootstrap testing proposed by Hansen (1999), to determine the number of thresholds.
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