Thanks, I read the example that you gave me. I modified it a little bit in order to adapt it to my model. I changed the "threshold variable", instead of choosing an exogeneous variable, I chose to put a lag of my endogeneous variable, in order to replicate a SETAR Model. I tried to estimate it but, it seems that there is a problem of convergence in the estimaors. I don't know how to solve it? Do I have to change the level of convergence, in order to have "algorithm converged"? Thanks, Anaïs
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