TAR Models

[anais]

Hey,

I would like to estimate a threshold autoregressive model and some extensions of this class of models, but I do not know if is it possible to estimate it with this software?

Can someone help me to program this kind of model?

Thanks a lot,

Anaïs

[Rick_SAS]

I haven't heard of this model, but a quick internet search suggests that you can use PROC ARIMA and PROC MODEL in SAS/ETS software to do this analysis.  PROC MODEL is very flexible. See examples at  http://repository.lib.ncsu.edu/ir/bitstream/1840.16/943/1/etd.pdf  (code begins on p. 69)

The friendly folks at the SAS Forecasting Forum (https://communities.sas.com/community/support-communities/sas_forecasting) might be able to discuss this topic with more authority.

[anais]

Thanks a lot for this document.

I will try to estimate this model with the codes presented in the document.