07-23-2012 03:19 AM
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,
07-23-2012 08:04 AM
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.