I run the following "threshold" command:
threshold y, threshvar(x) nodots regionvars(x lx.1 ly.1 ly.2) vce(r)
The threshold exists and splits the sample into two Regions. I am trying now to get the impulse response functions and the variance decomposition curve for each region.
To do so, I treat it as an ARmaX model, so I run the command:
arima y x lx.1, ar(1/2) vce(robust)
But this command does not take into consideration the threshold value.
Also, using the "irf" command for the impulse response function, it returns back only the y,y impulse response function.
threshold y, threshvar(x) nodots regionvars(x lx.1 ly.1 ly.2) vce(r)
The threshold exists and splits the sample into two Regions. I am trying now to get the impulse response functions and the variance decomposition curve for each region.
To do so, I treat it as an ARmaX model, so I run the command:
arima y x lx.1, ar(1/2) vce(robust)
But this command does not take into consideration the threshold value.
Also, using the "irf" command for the impulse response function, it returns back only the y,y impulse response function.
