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