R Under development (unstable) (2024-10-26 r87273 ucrt) -- "Unsuffered Consequences" Copyright (C) 2024 The R Foundation for Statistical Computing Platform: x86_64-w64-mingw32/x64 R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or 'licence()' for distribution details. R is a collaborative project with many contributors. Type 'contributors()' for more information and 'citation()' on how to cite R or R packages in publications. Type 'demo()' for some demos, 'help()' for on-line help, or 'help.start()' for an HTML browser interface to help. Type 'q()' to quit R. > library(tsDyn) > > data(zeroyld) > > ###TVAR > tvar<-TVAR(zeroyld[1:100,], lag=2, nthresh=2,thDelay=1,trim=0.1, plot=FALSE, include="const") Best unique threshold 3.173 Second best: 2.987 (conditionnal on th= 3.173 and Delay= 1 ) SSR/AIC: 5.513542 Second best: 3.173 (conditionnal on th= 2.987 and Delay= 1 ) SSR/AIC: 5.513542 Second step best thresholds 3.091 3.405 SSR: 5.359576 > class(tvar) [1] "TVAR" "nlVar" > tvar Model TVAR with 2 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2588048 1.0010115 -0.03033653 -0.1216495 0.07488954 Equation long.run 0.2537710 0.4796473 1.10618520 -0.5610622 -0.11992734 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 5.184416 -1.034966 0.5343629 0.6156229 -0.6789873 Equation long.run 7.327257 -3.071481 1.9817578 1.4851627 -1.6385701 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.705713 0.379160720 -0.008943793 0.3090020 -0.13887286 Equation long.run 1.890135 -0.008113763 0.633504924 -0.1262766 -0.01764579 Threshold value[1] "3.091 3.405" > print(tvar) Model TVAR with 2 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2588048 1.0010115 -0.03033653 -0.1216495 0.07488954 Equation long.run 0.2537710 0.4796473 1.10618520 -0.5610622 -0.11992734 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 5.184416 -1.034966 0.5343629 0.6156229 -0.6789873 Equation long.run 7.327257 -3.071481 1.9817578 1.4851627 -1.6385701 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.705713 0.379160720 -0.008943793 0.3090020 -0.13887286 Equation long.run 1.890135 -0.008113763 0.633504924 -0.1262766 -0.01764579 Threshold value[1] "3.091 3.405" > coefficients(tvar) $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2588048 1.0010115 -0.03033653 -0.1216495 0.07488954 Equation long.run 0.2537710 0.4796473 1.10618520 -0.5610622 -0.11992734 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 5.184416 -1.034966 0.5343629 0.6156229 -0.6789873 Equation long.run 7.327257 -3.071481 1.9817578 1.4851627 -1.6385701 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.705713 0.379160720 -0.008943793 0.3090020 -0.13887286 Equation long.run 1.890135 -0.008113763 0.633504924 -0.1262766 -0.01764579 > > ##FIXME ? > summary(tvar)$VAR NULL > tvar$VAR NULL > > > > coefficients(summary(tvar)) $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2588048 1.0010115 -0.03033653 -0.1216495 0.07488954 Equation long.run 0.2537710 0.4796473 1.10618520 -0.5610622 -0.11992734 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 5.184416 -1.034966 0.5343629 0.6156229 -0.6789873 Equation long.run 7.327257 -3.071481 1.9817578 1.4851627 -1.6385701 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.705713 0.379160720 -0.008943793 0.3090020 -0.13887286 Equation long.run 1.890135 -0.008113763 0.633504924 -0.1262766 -0.01764579 > logLik(tvar) [1] 97.36061 > AIC(tvar) [1] -686.9451 > BIC(tvar) [1] -604.2262 > coef(tvar) $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2588048 1.0010115 -0.03033653 -0.1216495 0.07488954 Equation long.run 0.2537710 0.4796473 1.10618520 -0.5610622 -0.11992734 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 5.184416 -1.034966 0.5343629 0.6156229 -0.6789873 Equation long.run 7.327257 -3.071481 1.9817578 1.4851627 -1.6385701 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.705713 0.379160720 -0.008943793 0.3090020 -0.13887286 Equation long.run 1.890135 -0.008113763 0.633504924 -0.1262766 -0.01764579 > deviance(tvar) [1] 5.359576 > vcov(tvar) [,1] [,2] [,3] [,4] [,5] [1,] 0.057617015 -0.016678772 -0.002219302 -0.008384003 0.007281419 [2,] -0.016678772 0.040573102 -0.012828054 -0.033285979 0.011299894 [3,] -0.002219302 -0.012828054 0.016102232 0.013269491 -0.015472561 [4,] -0.008384003 -0.033285979 0.013269491 0.037993985 -0.015415106 [5,] 0.007281419 0.011299894 -0.015472561 -0.015415106 0.017361425 [6,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [7,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [8,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [9,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [10,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [11,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [12,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [13,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [14,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [15,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [16,] 0.042710004 -0.012363543 -0.001645111 -0.006214845 0.005397528 [17,] -0.012363543 0.030075792 -0.009509105 -0.024674036 0.008376319 [18,] -0.001645111 -0.009509105 0.011936169 0.009836331 -0.011469410 [19,] -0.006214845 -0.024674036 0.009836331 0.028163959 -0.011426820 [20,] 0.005397528 0.008376319 -0.011469410 -0.011426820 0.012869575 [21,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [22,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [23,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [24,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [25,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [26,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [27,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [28,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [29,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [30,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [,6] [,7] [,8] [,9] [,10] [,11] [1,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [2,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [3,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [4,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [5,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [6,] 7.696875398 -2.53204951 0.41528410 0.012329235 -0.20855908 0.00000000 [7,] -2.532049508 0.90260049 -0.17317638 -0.083160578 0.11492829 0.00000000 [8,] 0.415284105 -0.17317638 0.06531070 0.037608196 -0.05364079 0.00000000 [9,] 0.012329235 -0.08316058 0.03760820 0.098243374 -0.05732165 0.00000000 [10,] -0.208559080 0.11492829 -0.05364079 -0.057321647 0.05877521 0.00000000 [11,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.75703070 [12,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 -0.16523973 [13,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 -0.03285248 [14,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 -0.01939184 [15,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.01649168 [16,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [17,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [18,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [19,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [20,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 [21,] 5.705494817 -1.87694286 0.30783937 0.009139344 -0.15459946 0.00000000 [22,] -1.876942863 0.66907441 -0.12837118 -0.061644788 0.08519337 0.00000000 [23,] 0.307839375 -0.12837118 0.04841313 0.027877984 -0.03976253 0.00000000 [24,] 0.009139344 -0.06164479 0.02787798 0.072825274 -0.04249106 0.00000000 [25,] -0.154599456 0.08519337 -0.03976253 -0.042491056 0.04356855 0.00000000 [26,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.56116729 [27,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 -0.12248794 [28,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 -0.02435270 [29,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 -0.01437467 [30,] 0.000000000 0.00000000 0.00000000 0.000000000 0.00000000 0.01222485 [,12] [,13] [,14] [,15] [,16] [1,] 0.00000000 0.000000000 0.000000000 0.00000000 0.042710004 [2,] 0.00000000 0.000000000 0.000000000 0.00000000 -0.012363543 [3,] 0.00000000 0.000000000 0.000000000 0.00000000 -0.001645111 [4,] 0.00000000 0.000000000 0.000000000 0.00000000 -0.006214845 [5,] 0.00000000 0.000000000 0.000000000 0.00000000 0.005397528 [6,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [7,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [8,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [9,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [10,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [11,] -0.16523973 -0.032852484 -0.019391845 0.01649168 0.000000000 [12,] 0.10350479 -0.017284975 -0.057794488 0.01445845 0.000000000 [13,] -0.01728497 0.032789700 0.009792150 -0.01613999 0.000000000 [14,] -0.05779449 0.009792150 0.071028490 -0.01737928 0.000000000 [15,] 0.01445845 -0.016139987 -0.017379275 0.01489168 0.000000000 [16,] 0.00000000 0.000000000 0.000000000 0.00000000 0.096152553 [17,] 0.00000000 0.000000000 0.000000000 0.00000000 -0.027833905 [18,] 0.00000000 0.000000000 0.000000000 0.00000000 -0.003703621 [19,] 0.00000000 0.000000000 0.000000000 0.00000000 -0.013991411 [20,] 0.00000000 0.000000000 0.000000000 0.00000000 0.012151393 [21,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [22,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [23,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [24,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [25,] 0.00000000 0.000000000 0.000000000 0.00000000 0.000000000 [26,] -0.12248794 -0.024352697 -0.014374673 0.01222485 0.000000000 [27,] 0.07672543 -0.012812905 -0.042841560 0.01071767 0.000000000 [28,] -0.01281290 0.024306157 0.007258667 -0.01196416 0.000000000 [29,] -0.04284156 0.007258667 0.052651584 -0.01288281 0.000000000 [30,] 0.01071767 -0.011964155 -0.012882808 0.01103882 0.000000000 [,17] [,18] [,19] [,20] [,21] [1,] -0.012363543 -0.001645111 -0.006214845 0.005397528 0.000000000 [2,] 0.030075792 -0.009509105 -0.024674036 0.008376319 0.000000000 [3,] -0.009509105 0.011936169 0.009836331 -0.011469410 0.000000000 [4,] -0.024674036 0.009836331 0.028163959 -0.011426820 0.000000000 [5,] 0.008376319 -0.011469410 -0.011426820 0.012869575 0.000000000 [6,] 0.000000000 0.000000000 0.000000000 0.000000000 5.705494817 [7,] 0.000000000 0.000000000 0.000000000 0.000000000 -1.876942863 [8,] 0.000000000 0.000000000 0.000000000 0.000000000 0.307839375 [9,] 0.000000000 0.000000000 0.000000000 0.000000000 0.009139344 [10,] 0.000000000 0.000000000 0.000000000 0.000000000 -0.154599456 [11,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [12,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [13,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [14,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [15,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [16,] -0.027833905 -0.003703621 -0.013991411 0.012151393 0.000000000 [17,] 0.067709293 -0.021407742 -0.055548380 0.018857514 0.000000000 [18,] -0.021407742 0.026871763 0.022144421 -0.025820953 0.000000000 [19,] -0.055548380 0.022144421 0.063405206 -0.025725072 0.000000000 [20,] 0.018857514 -0.025820953 -0.025725072 0.028973131 0.000000000 [21,] 0.000000000 0.000000000 0.000000000 0.000000000 12.844716536 [22,] 0.000000000 0.000000000 0.000000000 0.000000000 -4.225540430 [23,] 0.000000000 0.000000000 0.000000000 0.000000000 0.693035334 [24,] 0.000000000 0.000000000 0.000000000 0.000000000 0.020575302 [25,] 0.000000000 0.000000000 0.000000000 0.000000000 -0.348048023 [26,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [27,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [28,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [29,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [30,] 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 [,22] [,23] [,24] [,25] [,26] [,27] [1,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [2,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [3,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [4,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [5,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [6,] -1.87694286 0.30783937 0.009139344 -0.15459946 0.00000000 0.00000000 [7,] 0.66907441 -0.12837118 -0.061644788 0.08519337 0.00000000 0.00000000 [8,] -0.12837118 0.04841313 0.027877984 -0.03976253 0.00000000 0.00000000 [9,] -0.06164479 0.02787798 0.072825274 -0.04249106 0.00000000 0.00000000 [10,] 0.08519337 -0.03976253 -0.042491056 0.04356855 0.00000000 0.00000000 [11,] 0.00000000 0.00000000 0.000000000 0.00000000 0.56116729 -0.12248794 [12,] 0.00000000 0.00000000 0.000000000 0.00000000 -0.12248794 0.07672543 [13,] 0.00000000 0.00000000 0.000000000 0.00000000 -0.02435270 -0.01281290 [14,] 0.00000000 0.00000000 0.000000000 0.00000000 -0.01437467 -0.04284156 [15,] 0.00000000 0.00000000 0.000000000 0.00000000 0.01222485 0.01071767 [16,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [17,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [18,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [19,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [20,] 0.00000000 0.00000000 0.000000000 0.00000000 0.00000000 0.00000000 [21,] -4.22554043 0.69303533 0.020575302 -0.34804802 0.00000000 0.00000000 [22,] 1.50627973 -0.28900059 -0.138780219 0.19179488 0.00000000 0.00000000 [23,] -0.28900059 0.10899194 0.062761393 -0.08951693 0.00000000 0.00000000 [24,] -0.13878022 0.06276139 0.163950723 -0.09565964 0.00000000 0.00000000 [25,] 0.19179488 -0.08951693 -0.095659638 0.09808538 0.00000000 0.00000000 [26,] 0.00000000 0.00000000 0.000000000 0.00000000 1.26334963 -0.27575573 [27,] 0.00000000 0.00000000 0.000000000 0.00000000 -0.27575573 0.17273110 [28,] 0.00000000 0.00000000 0.000000000 0.00000000 -0.05482495 -0.02884555 [29,] 0.00000000 0.00000000 0.000000000 0.00000000 -0.03236154 -0.09644872 [30,] 0.00000000 0.00000000 0.000000000 0.00000000 0.02752168 0.02412858 [,28] [,29] [,30] [1,] 0.000000000 0.000000000 0.00000000 [2,] 0.000000000 0.000000000 0.00000000 [3,] 0.000000000 0.000000000 0.00000000 [4,] 0.000000000 0.000000000 0.00000000 [5,] 0.000000000 0.000000000 0.00000000 [6,] 0.000000000 0.000000000 0.00000000 [7,] 0.000000000 0.000000000 0.00000000 [8,] 0.000000000 0.000000000 0.00000000 [9,] 0.000000000 0.000000000 0.00000000 [10,] 0.000000000 0.000000000 0.00000000 [11,] -0.024352697 -0.014374673 0.01222485 [12,] -0.012812905 -0.042841560 0.01071767 [13,] 0.024306157 0.007258667 -0.01196416 [14,] 0.007258667 0.052651584 -0.01288281 [15,] -0.011964155 -0.012882808 0.01103882 [16,] 0.000000000 0.000000000 0.00000000 [17,] 0.000000000 0.000000000 0.00000000 [18,] 0.000000000 0.000000000 0.00000000 [19,] 0.000000000 0.000000000 0.00000000 [20,] 0.000000000 0.000000000 0.00000000 [21,] 0.000000000 0.000000000 0.00000000 [22,] 0.000000000 0.000000000 0.00000000 [23,] 0.000000000 0.000000000 0.00000000 [24,] 0.000000000 0.000000000 0.00000000 [25,] 0.000000000 0.000000000 0.00000000 [26,] -0.054824954 -0.032361541 0.02752168 [27,] -0.028845549 -0.096448724 0.02412858 [28,] 0.054720180 0.016341357 -0.02693477 [29,] 0.016341357 0.118533920 -0.02900292 [30,] -0.026934769 -0.029002920 0.02485156 > df.residual(tvar) [1] 83 > all.equal(summary(tvar)$VarCov[[1]], vcov(tvar)) [1] TRUE > head(residuals(tvar)) short.run long.run 3 -0.004597009 0.13556926 4 0.042833906 -0.09146197 5 0.098364773 -0.05242712 6 -0.098242642 -0.11095025 7 -0.141652551 -0.10341638 8 -0.084140183 0.01981197 > tail(residuals(tvar)) short.run long.run 95 -0.13264030 0.09671450 96 0.12582712 -0.28920157 97 0.17823756 0.04344887 98 -0.15492010 -0.08167471 99 0.09760711 0.15553665 100 0.31886073 0.01232640 > head(fitted(tvar)) short.run long.run 3 2.312597 1.626431 4 2.358166 1.864462 5 2.459635 1.860427 6 2.605243 1.920950 7 2.537653 1.806416 8 2.436140 1.663188 > tail(fitted(tvar)) short.run long.run 95 3.776640 3.284285 96 3.775173 3.479202 97 3.812762 3.359551 98 3.950920 3.464675 99 3.875393 3.438463 100 3.883139 3.595674 > > regime(tvar) [1] NA NA 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 [26] 1 1 1 1 2 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 [51] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 3 3 3 2 2 [76] 2 3 3 3 3 3 3 3 2 1 2 1 1 1 1 1 2 3 3 3 3 3 3 3 3 > regime(tvar, initVal=FALSE) [1] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 1 1 1 1 1 1 1 1 1 1 [39] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 3 3 3 2 2 2 3 3 [77] 3 3 3 3 3 2 1 2 1 1 1 1 1 2 3 3 3 3 3 3 3 3 attr(,"tsp") [1] 3 100 1 > regime(tvar, time=FALSE) [1] NA NA 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 [26] 1 1 1 1 2 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 [51] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 3 3 3 2 2 [76] 2 3 3 3 3 3 3 3 2 1 2 1 1 1 1 1 2 3 3 3 3 3 3 3 3 > regime(tvar, time=FALSE, initVal=FALSE) [1] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 1 1 1 1 1 1 1 1 1 1 [39] 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 3 3 3 2 2 2 3 3 [77] 3 3 3 3 3 2 1 2 1 1 1 1 1 2 3 3 3 3 3 3 3 3 > > > ##FIXME > options(show.signif.stars=TRUE) > summary(tvar) Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 30 + 2 AIC -686.9451 BIC -604.2262 SSR 5.359576 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.2588(0.2400) 1.0010(0.2014)*** -0.0303(0.1269) Equation long.run 0.2538(0.3101) 0.4796(0.2602). 1.1062(0.1639)*** short.run -2 long.run -2 Equation short.run -0.1216(0.1949) 0.0749(0.1318) Equation long.run -0.5611(0.2518)* -0.1199(0.1702) [[2]] Intercept short.run -1 long.run -1 Equation short.run 5.1844(2.7743). -1.0350(0.9501) 0.5344(0.2556)* Equation long.run 7.3273(3.5840)* -3.0715(1.2273)* 1.9818(0.3301)*** short.run -2 long.run -2 Equation short.run 0.6156(0.3134). -0.6790(0.2424)** Equation long.run 1.4852(0.4049)*** -1.6386(0.3132)*** [[3]] Intercept short.run -1 long.run -1 Equation short.run 1.7057(0.8701). 0.3792(0.3217) -0.0089(0.1811) Equation long.run 1.8901(1.1240). -0.0081(0.4156) 0.6335(0.2339)** short.run -2 long.run -2 Equation short.run 0.3090(0.2665) -0.1389(0.1220) Equation long.run -0.1263(0.3443) -0.0176(0.1576) --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 Threshold value: 3.091 3.405 Percentage of Observations in each regime: 71.4% 10.2% 18.4% > > options(show.signif.stars=FALSE) > summary(tvar) Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 30 + 2 AIC -686.9451 BIC -604.2262 SSR 5.359576 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.2588(0.2400) 1.0010(0.2014) -0.0303(0.1269) Equation long.run 0.2538(0.3101) 0.4796(0.2602) 1.1062(0.1639) short.run -2 long.run -2 Equation short.run -0.1216(0.1949) 0.0749(0.1318) Equation long.run -0.5611(0.2518) -0.1199(0.1702) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 5.1844(2.7743) -1.0350(0.9501) 0.5344(0.2556) 0.6156(0.3134) Equation long.run 7.3273(3.5840) -3.0715(1.2273) 1.9818(0.3301) 1.4852(0.4049) long.run -2 Equation short.run -0.6790(0.2424) Equation long.run -1.6386(0.3132) [[3]] Intercept short.run -1 long.run -1 Equation short.run 1.7057(0.8701) 0.3792(0.3217) -0.0089(0.1811) Equation long.run 1.8901(1.1240) -0.0081(0.4156) 0.6335(0.2339) short.run -2 long.run -2 Equation short.run 0.3090(0.2665) -0.1389(0.1220) Equation long.run -0.1263(0.3443) -0.0176(0.1576) Threshold value: 3.091 3.405 Percentage of Observations in each regime: 71.4% 10.2% 18.4% > > print(summary(tvar), digits=3) Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 30 + 2 AIC -686.9451 BIC -604.2262 SSR 5.359576 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.259(0.240) 1.001(0.201) -0.030(0.127) -0.122(0.195) Equation long.run 0.254(0.310) 0.480(0.260) 1.106(0.164) -0.561(0.252) long.run -2 Equation short.run 0.075(0.132) Equation long.run -0.120(0.170) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 5.184(2.774) -1.035(0.950) 0.534(0.256) 0.616(0.313) Equation long.run 7.327(3.584) -3.071(1.227) 1.982(0.330) 1.485(0.405) long.run -2 Equation short.run -0.679(0.242) Equation long.run -1.639(0.313) [[3]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 1.706(0.870) 0.379(0.322) -0.009(0.181) 0.309(0.267) Equation long.run 1.890(1.124) -0.008(0.416) 0.634(0.234) -0.126(0.344) long.run -2 Equation short.run -0.139(0.122) Equation long.run -0.018(0.158) Threshold value: 3.091 3.405 Percentage of Observations in each regime: 71.4% 10.2% 18.4% > > toLatex(tvar) %insert in the preamble and uncomment the line you want for usual /medium /small matrix %\usepackage{amsmath} \newenvironment{smatrix}{\begin{pmatrix}}{\end{pmatrix}} %USUAL %\usepackage{amsmath} \newenvironment{smatrix}{\left(\begin{smallmatrix}}{\end{smallmatrix}\right)} %SMALL %\usepackage{nccmath} \newenvironment{smatrix}{\left(\begin{mmatrix}}{\end{mmatrix}\right)} %MEDIUM \begin{equation} \begin{smatrix} %explained vector X_{t}^{1} \\ X_{t}^{2} \end{smatrix}= \left\{ \begin{array}{ll} \begin{smatrix} %const 0.2588 \\ 0.2538 \end{smatrix} +\begin{smatrix} %Lag1 1.0010 & -0.0303 \\ 0.4796 & 1.1062 \end{smatrix} \begin{smatrix} X_{t-1}^{1} \\ X_{t-1}^{2} \end{smatrix} +\begin{smatrix} %Lag2 -0.1216 & 0.0749 \\ -0.5611 & -0.1199 \end{smatrix} \begin{smatrix} X_{t-2}^{1} \\ X_{t-2}^{2} \end{smatrix} & \text{if Th}< 3.091 \\ \begin{smatrix} %const 5.1844 \\ 7.3273 \end{smatrix} +\begin{smatrix} %Lag1 -1.0350 & 0.5344 \\ -3.0715 & 1.9818 \end{smatrix} \begin{smatrix} X_{t-1}^{1} \\ X_{t-1}^{2} \end{smatrix} +\begin{smatrix} %Lag2 0.6156 & -0.6790 \\ 1.4852 & -1.6386 \end{smatrix} \begin{smatrix} X_{t-2}^{1} \\ X_{t-2}^{2} \end{smatrix} & \text{if } 3.091 < \text{Th} < 3.405 \\ \begin{smatrix} %const 1.7057 \\ 1.8901 \end{smatrix} +\begin{smatrix} %Lag1 0.3792 & -0.0089 \\ -0.0081 & 0.6335 \end{smatrix} \begin{smatrix} X_{t-1}^{1} \\ X_{t-1}^{2} \end{smatrix} +\begin{smatrix} %Lag2 0.3090 & -0.1389 \\ -0.1263 & -0.0176 \end{smatrix} \begin{smatrix} X_{t-2}^{1} \\ X_{t-2}^{2} \end{smatrix} & \text{if Th}> 3.405 \\ \end{array} \right. \end{equation} > > if(FALSE) {##FIXME + toLatex(summary(tvar), digits=2) + tvar$coefficients + tvar$StDev + options(show.signif.stars=FALSE) + toLatex(summary(tvar), digits=2) + } > > > ################################# > ### Many more TVARs > ################################# > gr_args <- expand.grid(include= c("const", "trend", "none", "both"), + nthresh=1:2, + lag=1:3, + commonInter=c(FALSE, TRUE), + thDelay=c(1,2), + mTh=c(1,2), + stringsAsFactors=FALSE) > > ## remove if commonInter and const > gr_args_ok <- subset(gr_args, !(commonInter & include!="const") & lag > thDelay) > > > ## run > TVAR_outs <- mapply(TVAR, + include=gr_args_ok$include, + lag=gr_args_ok$lag, + commonInter=gr_args_ok$commonInter, + thDelay=gr_args_ok$thDelay, + nthresh=gr_args_ok$nthresh, + mTh=gr_args_ok$mTh, + MoreArgs = list(data=zeroyld[1:100,], plot=FALSE, trace=FALSE), + SIMPLIFY=FALSE) > > names(TVAR_outs) <- paste("mod", 1:length(TVAR_outs), sep="_") > > ## check outputs > lapply(TVAR_outs, print) Model TVAR with 1 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2832007 0.9396643 0.01650815 -0.06915515 0.0270369 Equation long.run 0.3018691 0.3586970 1.19854272 -0.45756604 -0.2142721 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8744681 0.7032444 -0.007655547 0.23058624 -0.17635745 Equation long.run 1.0445491 0.3368997 0.486616097 -0.06591612 -0.07190994 Threshold value[1] "3.173" Model TVAR with 1 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0004599199 1.0286865 0.06283835 -0.04883251 Equation long.run -0.0003674653 0.4708071 1.21964197 -0.43624235 long.run -2 Equation short.run -0.03294379 Equation long.run -0.25602317 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.006927979 0.8781817 -0.02132602 0.07952605 Equation long.run 0.005741491 0.5515048 0.46122895 -0.16091952 long.run -2 Equation short.run -0.095053066 Equation long.run -0.002868694 Threshold value[1] "3.189" Model TVAR with 1 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.0391823 0.04821119 -0.0505209 -0.02118022 Equation long.run 0.4624212 1.23132873 -0.4348934 -0.26542199 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8754612 -0.0449194 0.33243671 -0.17515454 Equation long.run 0.5492502 0.4416762 0.04867759 -0.06925197 Threshold value[1] "3.189" Model TVAR with 1 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.7945870 0.0025557204 0.7645884 0.06746809 -0.1685681 Equation long.run 0.4463826 0.0007222254 0.3092220 1.21294357 -0.4856593 long.run -2 Equation short.run 0.04216543 Equation long.run -0.20999691 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 1.481438 0.01103125 0.5637752 0.05734241 -0.2169814 Equation long.run 1.605047 0.01018666 0.2081087 0.54663758 -0.4792164 long.run -2 Equation short.run -0.05411242 Equation long.run 0.04097558 Threshold value[1] "3.173" Model TVAR with 2 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2588048 1.0010115 -0.03033653 -0.1216495 0.07488954 Equation long.run 0.2537710 0.4796473 1.10618520 -0.5610622 -0.11992734 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 5.184416 -1.034966 0.5343629 0.6156229 -0.6789873 Equation long.run 7.327257 -3.071481 1.9817578 1.4851627 -1.6385701 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.705713 0.379160720 -0.008943793 0.3090020 -0.13887286 Equation long.run 1.890135 -0.008113763 0.633504924 -0.1262766 -0.01764579 Threshold value[1] "3.091 3.405" Model TVAR with 2 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0002518295 1.2028864 -0.05253768 -0.2183941 Equation long.run -0.0001415314 0.5615302 0.94158698 -0.5488400 long.run -2 Equation short.run 0.08426555 Equation long.run 0.05329404 $Bmiddle Trend short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.01222293 0.6065981 0.5100604 0.2347623 -0.5902899 Equation long.run 0.01368128 -0.7883235 2.0719420 1.1463882 -1.7387759 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.01814691 0.4395244 0.3992507 -0.1732682 Equation long.run -0.01805456 0.7108550 0.3766512 0.4305294 long.run -2 Equation short.run -0.05599304 Equation long.run -0.14626126 Threshold value[1] "3.058 3.344" Model TVAR with 2 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.2037536 -0.05669087 -0.2134358 0.08522469 Equation long.run 0.5610428 0.94392112 -0.5516266 0.05275499 $Bmiddle short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.556324 0.2158971 0.6881505 -0.4836541 Equation long.run -0.844596 1.7426811 1.6538714 -1.6194170 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.7387331 0.06776343 0.34768353 -0.15643931 Equation long.run 0.4131690 0.70645158 -0.08777122 -0.04632617 Threshold value[1] "3.058 3.344" Model TVAR with 2 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.3907058 0.0013961534 1.0662633 -0.03698259 -0.2756177 Equation long.run 0.2841099 0.0006905876 0.4621819 0.95289819 -0.5904513 long.run -2 Equation short.run 0.1129476 Equation long.run 0.0741508 $Bmiddle Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 1.367155 0.01151720 0.06198597 0.5435843 0.3929145 Equation long.run 3.204385 0.01285288 -2.03015761 2.2203610 1.4225466 long.run -2 Equation short.run -0.6545286 Equation long.run -1.9026935 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 1.624979 0.02312486 -0.02362167 0.4373554 -0.3343761 Equation long.run 1.341350 -0.01758756 0.38297432 0.3073416 0.4387147 long.run -2 Equation short.run -0.01071633 Equation long.run -0.12874511 Threshold value[1] "3.058 3.357" Model TVAR with 1 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.1967369 0.9024595 0.08054676 -0.2601721 0.02659415 Equation long.run 0.2070307 0.4332564 1.11765254 -0.3853018 -0.06301269 short.run -3 long.run -3 Equation short.run 0.2764994 -0.08552854 Equation long.run -0.1028154 -0.08282521 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8205095 0.6507265 0.01949351 0.03649528 -0.2650380 Equation long.run 0.8843399 0.3792890 0.47929084 -0.02745512 -0.2487799 short.run -3 long.run -3 Equation short.run 0.30258873 0.02533358 Equation long.run -0.01400777 0.16624249 Threshold value[1] "3.173" Model TVAR with 1 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0003032222 0.948069 0.09417286 -0.2490979 Equation long.run -0.0001032298 0.485098 1.12431295 -0.3752695 long.run -2 short.run -3 long.run -3 Equation short.run 0.02985988 0.30221017 -0.1213044 Equation long.run -0.06249592 -0.06999189 -0.1126849 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.005795312 0.9012984 -0.02070981 0.05503851 Equation long.run 0.006558431 0.6517655 0.43603933 -0.01187527 long.run -2 short.run -3 long.run -3 Equation short.run -0.2422282 0.06256554 0.1172989 Equation long.run -0.2208972 -0.28286362 0.2675476 Threshold value[1] "3.173" Model TVAR with 1 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.9508302 0.08865962 -0.2502621 0.02776345 Equation long.run 0.4841579 1.12618989 -0.3748732 -0.06178220 short.run -3 long.run -3 Equation short.run 0.30635123 -0.1157126 Equation long.run -0.07140168 -0.1145886 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8565424 -0.02218284 0.13680369 -0.3034419 Equation long.run 0.6011161 0.43437234 0.08065663 -0.2901714 short.run -3 long.run -3 Equation short.run 0.25112221 0.0767413 Equation long.run -0.06947806 0.2216494 Threshold value[1] "3.173" Model TVAR with 1 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.6448545 0.002062598 0.7735010 0.09957019 -0.2748258 Equation long.run 0.4532960 0.001133511 0.3623866 1.12810696 -0.3933548 long.run -2 short.run -3 long.run -3 Equation short.run 0.03819123 0.1803358 -0.05481368 Equation long.run -0.05663946 -0.1556626 -0.06594571 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 1.401932 0.01049255 0.5859147 0.05169282 -0.1826222 Equation long.run 1.532243 0.01169228 0.3070666 0.51517185 -0.2716268 long.run -2 short.run -3 long.run -3 Equation short.run -0.12699561 -0.002327788 0.06233603 Equation long.run -0.09495357 -0.353788841 0.20747585 Threshold value[1] "3.173" Model TVAR with 2 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.009343302 1.1263399 -0.01194672 -0.3871924 Equation long.run 0.133039994 0.5738207 1.00350757 -0.4591184 long.run -2 short.run -3 long.run -3 Equation short.run 0.12301909 0.2557926 -0.09316183 Equation long.run 0.01143377 -0.1392814 -0.04505061 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run -0.2316633 0.1400663 1.054398 2.827951 -2.840360 Equation long.run 4.2645638 -2.9068152 2.710032 4.121924 -4.216496 short.run -3 long.run -3 Equation short.run -1.722817 1.577701 Equation long.run -1.875388 1.786239 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.632393 0.10928587 0.0962093 -0.04965012 -0.2829809 Equation long.run 1.662304 -0.09749277 0.6803840 -0.24565263 -0.2078715 short.run -3 long.run -3 Equation short.run 0.7136689 -0.01268697 Equation long.run 0.3213474 0.10090816 Threshold value[1] "3.062 3.357" Model TVAR with 2 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 2.559560e-04 1.1262105 -0.01046192 -0.3938025 Equation long.run 4.297801e-05 0.5300969 0.95918867 -0.5597820 long.run -2 short.run -3 long.run -3 Equation short.run 0.12758689 0.26033787 -0.09608653 Equation long.run 0.05347769 0.03951455 -0.01836994 $Bmiddle Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.01452177 0.8513576 0.2446008 -0.04814896 Equation long.run 0.01786668 -0.3563039 1.7015592 1.23383105 long.run -2 short.run -3 long.run -3 Equation short.run -0.005328368 -0.04025565 -0.283383135 Equation long.run -1.207883788 -0.74330328 -0.006737565 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.002718693 0.481491 0.2197999 -0.0861726 Equation long.run -0.058538768 0.850046 -0.1706988 0.7562607 long.run -2 short.run -3 long.run -3 Equation short.run -0.3115054 0.6437456 0.001548061 Equation long.run -0.6242640 1.5483833 -0.124306339 Threshold value[1] "3.058 3.369" Model TVAR with 2 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.9508302 0.08865962 -0.2502621 0.02776345 Equation long.run 0.4841579 1.12618989 -0.3748732 -0.06178220 short.run -3 long.run -3 Equation short.run 0.30635123 -0.1157126 Equation long.run -0.07140168 -0.1145886 $Bmiddle short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.7881264 0.1988264 1.0604765 -0.9340827 Equation long.run 0.9379745 0.1672334 0.3802467 -0.3867938 short.run -3 long.run -3 Equation short.run -0.5962418 0.4814874 Equation long.run -0.6339278 0.5112913 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.5128610 0.05840548 -0.5504474 -0.1726551 Equation long.run -0.1648127 0.92902591 0.3205289 0.3175651 short.run -3 long.run -3 Equation short.run 1.3091527 -0.1590313 Equation long.run 0.2424556 -0.6801342 Threshold value[1] "3.173 3.748" Model TVAR with 2 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.6448545 0.002062598 0.7735010 0.09957019 -0.2748258 Equation long.run 0.4532960 0.001133511 0.3623866 1.12810696 -0.3933548 long.run -2 short.run -3 long.run -3 Equation short.run 0.03819123 0.1803358 -0.05481368 Equation long.run -0.05663946 -0.1556626 -0.06594571 $Bmiddle Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.6306102 0.01309287 0.9921338 0.08134731 0.3623070 Equation long.run 2.9390101 0.02388531 0.2648202 0.44795034 -0.8290849 long.run -2 short.run -3 long.run -3 Equation short.run -0.4512674 -0.8220583 0.3922994 Equation long.run 0.5272884 -0.5680193 -0.2022906 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run -6.001019 -0.04674042 2.204824 -0.6762527 0.4699711 Equation long.run -7.035577 -0.09827466 2.604056 -0.7569670 1.3348474 long.run -2 short.run -3 long.run -3 Equation short.run -0.2795461 2.520628 -0.7255222 Equation long.run -0.7050719 3.127489 -0.7335721 Threshold value[1] "3.173 3.712" Model TVAR with 1 thresholds Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.4221312 0.9044330 0.006768059 -0.09451865 0.04927258 Equation long.run 0.4763771 0.3144436 1.186308374 -0.48942467 -0.18634229 short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8103215 -0.02809227 0.26411544 -0.1724251 Equation long.run 0.4713973 0.46094591 -0.02380072 -0.0669706 Threshold value[1] "3.173" Model TVAR with 2 thresholds Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.04773692 1.1215448 -0.02085254 -0.1664741 Equation long.run -0.13545476 0.5585268 0.97423201 -0.5001925 long.run -2 short.run -1 long.run -1 short.run -2 Equation short.run 0.07600803 0.6689391 0.1414144 0.4611938 Equation long.run 0.02777120 -0.3657792 1.7163124 0.8159160 long.run -2 short.run -1 long.run -1 short.run -2 Equation short.run -0.2990783 0.8040020 0.1810796 0.1880898 Equation long.run -1.1410112 0.5065698 0.9014364 -0.2846535 long.run -2 Equation short.run -0.1947605 Equation long.run -0.1107118 Threshold value[1] "3.008 3.214" Model TVAR with 1 thresholds Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.3589170 0.8625851 0.07385892 -0.2683415 0.02563024 Equation long.run 0.3831302 0.3899597 1.11039071 -0.3941723 -0.06405933 short.run -3 long.run -3 short.run -1 long.run -1 Equation short.run 0.2518911 -0.06064631 0.7665120 -0.003952275 Equation long.run -0.1295358 -0.05580741 0.5050121 0.453832763 short.run -2 long.run -2 short.run -3 long.run -3 Equation short.run 0.09292560 -0.2866428 0.27363530 0.05425393 Equation long.run 0.03381845 -0.2722390 -0.04544619 0.19764499 Threshold value[1] "3.173" Model TVAR with 2 thresholds Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2165169 1.0625479 -0.01558042 -0.3869353 0.116082744 Equation long.run 0.3973527 0.4924346 0.99887169 -0.4587905 0.002584361 short.run -3 long.run -3 short.run -1 long.run -1 Equation short.run 0.2273664 -0.06218120 -0.02960929 1.077715 Equation long.run -0.1755476 -0.00552544 -1.44273562 2.508836 short.run -2 long.run -2 short.run -3 long.run -3 Equation short.run 2.836257 -2.854727 -1.703682 1.573557 Equation long.run 4.050256 -4.092528 -2.040493 1.822000 short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.4694056 0.1488920 -0.007144646 -0.2957049 Equation long.run 0.2242402 0.7274511 -0.207678008 -0.2192393 short.run -3 long.run -3 Equation short.run 0.6370600 0.0004194623 Equation long.run 0.2529045 0.1126175191 Threshold value[1] "3.062 3.357" Model TVAR with 1 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.22146604 0.9061864 0.1299808 -0.2575857 -0.1493407 Equation long.run 0.05963299 0.1808340 1.1265635 -0.3318690 -0.2735769 short.run -3 long.run -3 Equation short.run 0.2465101 0.0618477 Equation long.run 0.1115348 0.1864413 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.1864381 0.8570790 0.1005647 -0.11097729 -0.1243534 Equation long.run -0.2436023 0.7044036 0.8242433 -0.09176081 -0.0936612 short.run -3 long.run -3 Equation short.run 0.3117425 -0.09444285 Equation long.run -0.2509585 -0.06081042 Threshold value[1] "3.003" Model TVAR with 1 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.001274795 0.8092677 0.09994505 0.07922671 Equation long.run 0.001771201 0.3928897 1.02718592 -0.07643419 long.run -2 short.run -3 long.run -3 Equation short.run -0.10847363 0.1062534 0.003837981 Equation long.run -0.06680867 -0.2640662 -0.059028482 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run -0.02468274 0.9459944 0.3982769 -0.2030473 Equation long.run -0.09624328 2.1786419 -0.2785201 0.3457862 long.run -2 short.run -3 long.run -3 Equation short.run -1.053879 1.691706 -0.2881678 Equation long.run -1.308131 2.436449 -0.3616428 Threshold value[1] "3.713" Model TVAR with 1 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.9072240 0.1378856 -0.1940247 -0.1621514 Equation long.run 0.1811134 1.1286920 -0.3147542 -0.2770264 short.run -3 long.run -3 Equation short.run 0.2786112 0.04845998 Equation long.run 0.1201785 0.18283646 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8729578 0.09040618 -0.07035599 -0.13701804 Equation long.run 0.6836562 0.83751653 -0.14483710 -0.07711344 short.run -3 long.run -3 Equation short.run 0.3236704 -0.08815567 Equation long.run -0.2665436 -0.06902533 Threshold value[1] "3.003" Model TVAR with 1 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.3980118 0.002727102 0.7461738 0.1264134 0.01891301 Equation long.run 0.2397976 0.002646200 0.3548763 1.0431328 -0.11277250 long.run -2 short.run -3 long.run -3 Equation short.run -0.10050873 0.01819531 0.03236628 Equation long.run -0.06200991 -0.31712020 -0.04184051 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run -3.323697 -0.02798803 1.155992 0.2973742 0.3327893 Equation long.run -6.706506 -0.10291266 2.602373 -0.4821201 1.4269890 long.run -2 short.run -3 long.run -3 Equation short.run -0.9347861 2.010805 -0.4463617 Equation long.run -1.0678266 3.080322 -0.6808441 Threshold value[1] "3.713" Model TVAR with 2 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.22146604 0.9061864 0.1299808 -0.2575857 -0.1493407 Equation long.run 0.05963299 0.1808340 1.1265635 -0.3318690 -0.2735769 short.run -3 long.run -3 Equation short.run 0.2465101 0.0618477 Equation long.run 0.1115348 0.1864413 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 2.407979 1.504859 -0.5229292 -1.103426 0.8352313 Equation long.run 7.686311 1.987991 -0.1930573 -2.795720 1.4929248 short.run -3 long.run -3 Equation short.run 0.1433666 -0.6939182 Equation long.run -0.9794814 -1.1526078 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.1324017 0.7042974 0.2812027 -0.04223056 -0.5346012 Equation long.run 0.3851522 0.5800297 0.8540580 -0.01484510 -0.2391981 short.run -3 long.run -3 Equation short.run 0.2561823 0.01823231 Equation long.run -0.4554243 0.14855034 Threshold value[1] "3.003 3.195" Model TVAR with 2 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.001306317 0.8773844 0.1428851 -0.1591998 Equation long.run 0.001586234 0.1448799 1.1347629 -0.2724671 long.run -2 short.run -3 long.run -3 Equation short.run -0.1473274 0.24507914 0.04435461 Equation long.run -0.2590259 0.07946123 0.17785140 $Bmiddle Trend short.run -1 long.run -1 short.run -2 Equation short.run -0.005234523 1.974641 -0.8190096 -0.5515159 Equation long.run -0.008737675 2.772282 -0.8079007 -0.9693829 long.run -2 short.run -3 long.run -3 Equation short.run 1.143090 0.1311334 -0.849384 Equation long.run 2.264799 -0.6495879 -1.626268 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.001125747 0.8016596 0.2273959 0.1229852 Equation long.run -0.001321745 0.6331955 0.8384990 0.0210960 long.run -2 short.run -3 long.run -3 Equation short.run -0.4882614 0.2598129 0.04788446 Equation long.run -0.2317716 -0.3960630 0.14241687 Threshold value[1] "3.003 3.195" Model TVAR with 2 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.9072240 0.1378856 -0.1940247 -0.1621514 Equation long.run 0.1811134 1.1286920 -0.3147542 -0.2770264 short.run -3 long.run -3 Equation short.run 0.2786112 0.04845998 Equation long.run 0.1201785 0.18283646 $Bmiddle short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.504931 -0.6021359 -0.5090729 1.004649 Equation long.run 1.988223 -0.4458866 -0.8985354 2.033708 short.run -3 long.run -3 Equation short.run 0.3734158 -0.8345501 Equation long.run -0.2451603 -1.6015072 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8149014 0.2292066 0.10961069 -0.4937655 Equation long.run 0.6176483 0.8363730 0.03679912 -0.2253091 short.run -3 long.run -3 Equation short.run 0.2981999 0.03717353 Equation long.run -0.4411333 0.15499263 Threshold value[1] "3.003 3.195" Model TVAR with 2 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 1.414766 0.005366773 0.77800562 0.1079283 -0.4569925 Equation long.run 1.139527 0.004856739 0.06483493 1.1066067 -0.5123250 long.run -2 short.run -3 long.run -3 Equation short.run -0.01941213 -0.0642165 0.1171171 Equation long.run -0.15599619 -0.1696618 0.2364581 $Bmiddle Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 1.790746 -0.005071305 1.959941 -0.7533434 -0.9921959 Equation long.run 6.697135 -0.008127264 2.717306 -0.5623187 -2.6174630 long.run -2 short.run -3 long.run -3 Equation short.run 1.012782 -0.03239308 -0.7443375 Equation long.run 1.777467 -1.26115354 -1.2334096 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 1.6566657 0.006425835 0.5775066 0.2949397 -0.03618523 Equation long.run 0.3752658 -0.000121176 0.5824206 0.8537989 -0.01495910 long.run -2 short.run -3 long.run -3 Equation short.run -0.5220886 0.01761445 0.07060183 Equation long.run -0.2394341 -0.45092549 0.14756278 Threshold value[1] "3.003 3.195" Model TVAR with 1 thresholds Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.20757089 0.9062515 0.1304768 -0.2535978 Equation long.run -0.06065663 0.1813975 1.1308570 -0.2973457 long.run -2 short.run -3 long.run -3 short.run -1 Equation short.run -0.1501445 0.2485242 0.06100773 0.8552791 Equation long.run -0.2805351 0.1289705 0.17916974 0.6888223 long.run -1 short.run -2 long.run -2 short.run -3 Equation short.run 0.1017161 -0.1155817 -0.12291786 0.3103905 Equation long.run 0.8342115 -0.1316212 -0.08123381 -0.2626629 long.run -3 Equation short.run -0.09515550 Equation long.run -0.06697983 Threshold value[1] "3.003" Model TVAR with 2 thresholds Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.4357598 0.9051825 0.1223321 -0.3190883 -0.1369448 Equation long.run 0.1582672 0.1803719 1.1230430 -0.3601771 -0.2678714 short.run -3 long.run -3 short.run -1 long.run -1 Equation short.run 0.21544873 0.07480186 1.504918 -0.5878023 Equation long.run 0.09723797 0.19240379 1.988218 -0.4406806 short.run -2 long.run -2 short.run -3 long.run -3 Equation short.run -0.6166299 0.9739901 0.3317850 -0.8091007 Equation long.run -0.9375999 2.0225728 -0.2602806 -1.5922640 short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.7723398 0.2492152 0.05118062 -0.5094795 Equation long.run 0.6021900 0.8436402 0.01557742 -0.2310164 short.run -3 long.run -3 Equation short.run 0.2820311 0.02988475 Equation long.run -0.4470058 0.15234536 Threshold value[1] "3.003 3.195" Model TVAR with 1 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run -1.196431 1.189101 0.2001096 0.3203449 -0.2354297 Equation long.run -1.997184 1.323007 1.6893576 -0.3972545 -0.9129451 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2992438 0.7971728 0.1792848 0.02531477 -0.08323189 Equation long.run 0.1361728 0.2922777 1.1323374 -0.33093944 -0.14447777 Threshold value[1] "1.473" Model TVAR with 1 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0009943033 0.9300480 0.02864361 0.05978297 Equation long.run 0.0013696421 0.4318356 1.05980449 -0.39835686 long.run -2 Equation short.run -0.02325953 Equation long.run -0.12049397 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.01259111 0.4083895 0.9072017 0.6546787 Equation long.run -0.01855471 0.3555661 1.3479238 1.1169159 long.run -2 Equation short.run -1.271280 Equation long.run -1.474172 Threshold value[1] "3.426" Model TVAR with 1 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.9433236 0.02807672 0.06132133 -0.01994262 Equation long.run 0.4501227 1.05902360 -0.39623777 -0.11592496 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.63245646 0.7136706 0.9565439 -1.335421 Equation long.run 0.02537303 1.6331180 0.6720766 -1.379652 Threshold value[1] "3.426" Model TVAR with 1 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run -2.326646 -0.006611898 1.352518 0.2719138 0.7098412 Equation long.run -7.923946 -0.032165631 2.105999 1.7684673 1.8409835 long.run -2 Equation short.run -0.2559457 Equation long.run -1.1051855 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.6569554 0.002829209 0.7027017 0.2041393 -0.06685026 Equation long.run 0.2558950 0.001162610 0.2510441 1.1444281 -0.35570329 long.run -2 Equation short.run -0.08303839 Equation long.run -0.14901418 Threshold value[1] "1.545" Model TVAR with 2 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run -1.196431 1.189101 0.2001096 0.3203449 -0.2354297 Equation long.run -1.997184 1.323007 1.6893576 -0.3972545 -0.9129451 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2622933 0.7410110 0.1851728 0.02056062 0.007527477 Equation long.run 0.1114496 0.2582331 1.1536220 -0.37898356 -0.046908084 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.6702651 0.5862364 0.648835 0.8638703 -1.310855 Equation long.run -0.5019866 0.0599890 1.681676 0.7414834 -1.398050 Threshold value[1] "1.473 3.426" Model TVAR with 2 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.002437839 1.331453 0.2954324 -0.4146769 Equation long.run 0.002556112 1.711105 1.8637162 -1.7901777 long.run -2 Equation short.run -0.1710002 Equation long.run -0.7160216 $Bmiddle Trend short.run -1 long.run -1 short.run -2 Equation short.run -0.0003993536 0.8018658 0.1645122 0.08077868 Equation long.run 0.0002259908 0.1887547 1.1481683 -0.23192298 long.run -2 Equation short.run -0.004885698 Equation long.run -0.093842741 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.01259111 0.4083895 0.9072017 0.6546787 Equation long.run -0.01855471 0.3555661 1.3479238 1.1169159 long.run -2 Equation short.run -1.271280 Equation long.run -1.474172 Threshold value[1] "1.696 3.426" Model TVAR with 2 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.411089 0.2076054 -0.4022744 -0.1728161 Equation long.run 1.794605 1.7716283 -1.7771735 -0.7179257 $Bmiddle short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8039462 0.1533308 0.0837909 -0.007846524 Equation long.run 0.1875775 1.1544957 -0.2336276 -0.092167234 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.63245646 0.7136706 0.9565439 -1.335421 Equation long.run 0.02537303 1.6331180 0.6720766 -1.379652 Threshold value[1] "1.696 3.426" Model TVAR with 2 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run -2.326646 -0.006611898 1.352518 0.2719138 0.7098412 Equation long.run -7.923946 -0.032165631 2.105999 1.7684673 1.8409835 long.run -2 Equation short.run -0.2559457 Equation long.run -1.1051855 $Bmiddle Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.4978687 0.0017389964 0.680505 0.1944235 -0.0319043 Equation long.run 0.1293564 0.0003865553 0.240063 1.1597493 -0.3739638 long.run -2 Equation short.run 0.00379851 Equation long.run -0.05298216 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.4664666 0.01149829 0.3956703 0.8452827 0.6163828 Equation long.run -0.1806185 -0.01813156 0.3604910 1.3718991 1.1317443 long.run -2 Equation short.run -1.259750 Equation long.run -1.478636 Threshold value[1] "1.545 3.426" Model TVAR with 1 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run -1.086934 1.508323 -0.1399625 0.1607223 0.3493219 Equation long.run -1.854031 1.892417 1.1333829 -0.5331868 -0.1026160 short.run -3 long.run -3 Equation short.run -0.1364949 -0.3816717 Equation long.run -0.4058566 -0.4329160 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.2261432 0.7381213 0.2356391 -0.1264625 -0.1521196 Equation long.run 0.1036238 0.2520402 1.1039311 -0.1527374 -0.1559099 short.run -3 long.run -3 Equation short.run 0.25990535 -0.014741796 Equation long.run -0.09679225 0.005357974 Threshold value[1] "1.665" Model TVAR with 1 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.001033288 0.8527381 0.106170 -0.1209981 Equation long.run 0.001577519 0.4708557 1.005161 -0.3041289 long.run -2 short.run -3 long.run -3 Equation short.run -0.05566032 0.2575595 -0.04274470 Equation long.run -0.05224393 -0.1332552 -0.02008265 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.01233081 0.4501030 0.898920 0.6538587 Equation long.run -0.02895626 0.5261658 1.158633 1.1264841 long.run -2 short.run -3 long.run -3 Equation short.run -1.331523 -0.05146688 0.08899592 Equation long.run -1.507012 0.29940983 -0.04332525 Threshold value[1] "3.426" Model TVAR with 1 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8664012 0.1073276 -0.1202316 -0.05831579 Equation long.run 0.4917151 1.0069280 -0.3029587 -0.05629804 short.run -3 long.run -3 Equation short.run 0.2578299 -0.03774027 Equation long.run -0.1328423 -0.01244241 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.64123890 0.6858891 0.7327538 -1.350609 Equation long.run 0.07732441 1.6588901 0.9412159 -1.462193 short.run -3 long.run -3 Equation short.run 0.2489327 0.009871905 Equation long.run -0.4060139 0.142480439 Threshold value[1] "3.426" Model TVAR with 1 thresholds $Bdown Intercept Trend short.run -1 long.run -1 Equation short.run -2.915095 -0.008158726 1.427091 0.09020071 Equation long.run -10.037690 -0.040731453 2.357581 1.58437150 short.run -2 long.run -2 short.run -3 long.run -3 Equation short.run 0.732770 0.05534172 0.2650517 -0.3447504 Equation long.run 1.956479 -0.50190747 0.7862689 -0.7580816 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.5367934 0.002207089 0.6830525 0.2409705 -0.1725359 Equation long.run 0.3730061 0.001756556 0.2695959 1.1081700 -0.2625807 long.run -2 short.run -3 long.run -3 Equation short.run -0.1197824 0.1941168 -0.02007714 Equation long.run -0.1059047 -0.1756310 0.01076233 Threshold value[1] "1.473" Model TVAR with 2 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run -1.086934 1.508323 -0.1399625 0.1607223 0.3493219 Equation long.run -1.854031 1.892417 1.1333829 -0.5331868 -0.1026160 short.run -3 long.run -3 Equation short.run -0.1364949 -0.3816717 Equation long.run -0.4058566 -0.4329160 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.19330577 0.6653683 0.272465 -0.1551494 -0.06913621 Equation long.run 0.06411619 0.1851006 1.142511 -0.2529144 -0.06422541 short.run -3 long.run -3 Equation short.run 0.2807321158 -0.01496800 Equation long.run 0.0008432651 -0.01586549 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.3524043 0.5889409 0.6589852 0.7155628 -1.292401 Equation long.run -0.3018835 0.1221250 1.6819370 0.9559424 -1.512056 short.run -3 long.run -3 Equation short.run 0.2595030 -0.05759111 Equation long.run -0.4150688 0.20027194 Threshold value[1] "1.665 3.426" Model TVAR with 2 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.004196761 1.326837 -0.09079685 0.01888916 Equation long.run 0.005308231 1.704325 1.23812820 -0.82887457 long.run -2 short.run -3 long.run -3 Equation short.run 0.3755096 -0.4015668 -0.2813792 Equation long.run -0.1003950 -0.9115656 -0.1934397 $Bmiddle Trend short.run -1 long.run -1 short.run -2 Equation short.run -0.0005310968 0.7065740 0.2597221 -0.1394434 Equation long.run 0.0001353553 0.2009834 1.1282790 -0.2458168 long.run -2 short.run -3 long.run -3 Equation short.run -0.08148364 0.3209838 -0.01783196 Equation long.run -0.06751882 0.0148010 -0.01942508 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.01233081 0.4501030 0.898920 0.6538587 Equation long.run -0.02895626 0.5261658 1.158633 1.1264841 long.run -2 short.run -3 long.run -3 Equation short.run -1.331523 -0.05146688 0.08899592 Equation long.run -1.507012 0.29940983 -0.04332525 Threshold value[1] "1.665 3.426" Model TVAR with 2 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.602353 -0.04343651 -0.1030349 0.2792333 Equation long.run 2.052809 1.29803145 -0.9830890 -0.2221691 short.run -3 long.run -3 Equation short.run -0.5230546 -0.126236373 Equation long.run -1.0652282 0.002791141 $Bmiddle short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.7103514 0.2426631 -0.1362241 -0.08011627 Equation long.run 0.2000207 1.1326267 -0.2466373 -0.06786731 short.run -3 long.run -3 Equation short.run 0.32201859 -0.02228118 Equation long.run 0.01453727 -0.01829115 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.64123890 0.6858891 0.7327538 -1.350609 Equation long.run 0.07732441 1.6588901 0.9412159 -1.462193 short.run -3 long.run -3 Equation short.run 0.2489327 0.009871905 Equation long.run -0.4060139 0.142480439 Threshold value[1] "1.665 3.426" Model TVAR with 2 thresholds $Bdown Intercept Trend short.run -1 long.run -1 Equation short.run -2.915095 -0.008158726 1.427091 0.09020071 Equation long.run -10.037690 -0.040731453 2.357581 1.58437150 short.run -2 long.run -2 short.run -3 long.run -3 Equation short.run 0.732770 0.05534172 0.2650517 -0.3447504 Equation long.run 1.956479 -0.50190747 0.7862689 -0.7580816 $Bmiddle Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.3269964 0.0008917580 0.6435059 0.2660362 -0.1672432 Equation long.run 0.1689265 0.0005910148 0.2497151 1.1404620 -0.3560736 long.run -2 short.run -3 long.run -3 Equation short.run -0.05605231 0.25208663 -0.018383062 Equation long.run -0.02577417 -0.04370675 -0.009074609 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.6820167 0.01642251 0.2854653 0.9175418 0.5944089 Equation long.run -1.0039456 -0.03497934 0.7685166 1.1312212 1.2139957 long.run -2 short.run -3 long.run -3 Equation short.run -1.212540 -0.1306908 -0.01531142 Equation long.run -1.682158 0.4160295 0.11021777 Threshold value[1] "1.473 3.426" Model TVAR with 1 thresholds Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.04640264 0.9324612 0.0344796 0.05018028 Equation long.run -0.21376142 0.5001624 1.0295277 -0.34491469 long.run -2 short.run -1 long.run -1 short.run -2 Equation short.run -0.01855751 0.62925663 0.709182 0.9501280 Equation long.run -0.12230572 0.04011358 1.653795 0.7016322 long.run -2 Equation short.run -1.333720 Equation long.run -1.387486 Threshold value[1] "3.426" Model TVAR with 2 thresholds Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.1355326 1.411628 0.1874487 -0.4542603 -0.1546651 Equation long.run -0.1291168 1.818568 1.7120540 -1.7217643 -0.7228907 short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.778899 0.1632575 0.04600068 0.004072701 Equation long.run 0.235139 1.1103895 -0.19977954 -0.092753252 short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.62311041 0.7005604 0.9378046 -1.330453 Equation long.run 0.03427666 1.6456076 0.6899289 -1.384384 Threshold value[1] "1.665 3.426" Model TVAR with 1 thresholds Intercept short.run -1 long.run -1 short.run -2 Equation short.run -0.02970042 0.8711867 0.1052826 -0.1176253 Equation long.run -0.22362941 0.5277473 0.9915304 -0.2833350 long.run -2 short.run -3 long.run -3 short.run -1 Equation short.run -0.05993233 0.26449456 -0.03899167 0.6456465 Equation long.run -0.06846977 -0.08266063 -0.02186481 0.1105118 long.run -1 short.run -2 long.run -2 short.run -3 Equation short.run 0.6881565 0.7342026 -1.355514 0.2480419 Equation long.run 1.6759628 0.9521250 -1.499130 -0.4127216 long.run -3 Equation short.run 0.01555765 Equation long.run 0.18529126 Threshold value[1] "3.426" Model TVAR with 2 thresholds Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.08023993 1.609295 -0.03631074 -0.1225061 Equation long.run -0.11442010 2.042911 1.28787029 -0.9553236 long.run -2 short.run -3 long.run -3 short.run -1 Equation short.run 0.2740592 -0.5515913 -0.1073796 0.6916792 Equation long.run -0.2147910 -1.0245356 -0.0240982 0.2266467 long.run -1 short.run -2 long.run -2 short.run -3 Equation short.run 0.2550337 -0.1440799 -0.07555852 0.30488085 Equation long.run 1.1149865 -0.2354352 -0.07436654 0.03897525 long.run -3 short.run -1 long.run -1 short.run -2 Equation short.run -0.01924552 0.62933102 0.6797633 0.7288395 Equation long.run -0.02261991 0.09430474 1.6676254 0.9467976 long.run -2 short.run -3 long.run -3 Equation short.run -1.337355 0.2513395 -0.005488941 Equation long.run -1.481092 -0.4094459 0.164384616 Threshold value[1] "1.665 3.426" Model TVAR with 1 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run -2.862004 0.9879656 -0.3072743 0.3097258 0.6417889 Equation long.run -5.580980 0.8618261 1.2400121 1.0685219 -0.4072885 short.run -3 long.run -3 Equation short.run 0.8824222 -0.3263910 Equation long.run 0.5082096 -0.1517794 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.1456088 0.8070021 0.1825662 -0.1202728 -0.1527433 Equation long.run 0.1263485 0.3292219 1.1008494 -0.2223569 -0.1322074 short.run -3 long.run -3 Equation short.run 0.2567470 -0.01348956 Equation long.run -0.1447846 0.02051563 Threshold value[1] "1.303" Model TVAR with 1 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.01941653 0.2718452 -0.1702954 -0.09006683 0.2775503 Equation long.run 0.03704199 -0.4758056 1.5157562 0.29285330 -1.1256530 short.run -3 long.run -3 Equation short.run 0.4456991 0.02134046 Equation long.run -0.3896215 0.52033605 $Bup Trend short.run -1 long.run -1 short.run -2 Equation short.run 3.658266e-04 0.8353409 0.1606116 -0.1003677 Equation long.run 1.962684e-05 0.3553169 1.0845245 -0.2058905 long.run -2 short.run -3 long.run -3 Equation short.run -0.1589710 0.2813925 -0.02322441 Equation long.run -0.1387455 -0.1222376 0.01449391 Threshold value[1] "1.303" Model TVAR with 1 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.663400 0.0339102 0.003077721 0.08616574 Equation long.run 2.178939 1.9053306 0.470550291 -1.49076785 short.run -3 long.run -3 Equation short.run -0.6475032 -0.1198881 Equation long.run -2.4751840 0.2509066 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8371893 0.1639598 -0.1013575 -0.1603642 Equation long.run 0.3554161 1.0847042 -0.2059436 -0.1388203 short.run -3 long.run -3 Equation short.run 0.2828193 -0.02024500 Equation long.run -0.1221611 0.01465376 Threshold value[1] "1.303" Model TVAR with 1 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.4305017 0.02216623 0.1763774 -0.1478934 -0.1493835 Equation long.run -1.5384452 0.02721567 -0.1346411 1.4356999 0.5048279 long.run -2 short.run -3 long.run -3 Equation short.run 0.2210767 0.3703831 0.07240279 Equation long.run -0.9238385 -0.1204715 0.33785922 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.5533786 0.002728585 0.7086779 0.209699 -0.1658613 Equation long.run 0.3572096 0.001544804 0.2735551 1.116211 -0.2481671 long.run -2 short.run -3 long.run -3 Equation short.run -0.1210098 0.1730911 -0.01679381 Equation long.run -0.1142414 -0.1921469 0.01864491 Threshold value[1] "1.303" Model TVAR with 2 thresholds $Bdown Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run -2.862004 0.9879656 -0.3072743 0.3097258 0.6417889 Equation long.run -5.580980 0.8618261 1.2400121 1.0685219 -0.4072885 short.run -3 long.run -3 Equation short.run 0.8824222 -0.3263910 Equation long.run 0.5082096 -0.1517794 $Bmiddle Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.176117 0.7812736 0.1518959 -0.1251102 -0.07524729 Equation long.run 0.365994 0.2469706 1.1653478 -0.3607405 -0.21218395 short.run -3 long.run -3 Equation short.run 0.25398053 -0.03275331 Equation long.run -0.04868064 0.08256686 $Bup Intercept short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 2.177174 0.5498015 0.3578486 0.3468806 -1.0606325 Equation long.run 2.404626 -0.1707805 1.1319575 0.9197104 -0.5654481 short.run -3 long.run -3 Equation short.run 0.1105373 0.09890344 Equation long.run -0.5362107 -0.46993309 Threshold value[1] "1.303 3.271" Model TVAR with 2 thresholds $Bdown Trend short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.01941653 0.2718452 -0.1702954 -0.09006683 0.2775503 Equation long.run 0.03704199 -0.4758056 1.5157562 0.29285330 -1.1256530 short.run -3 long.run -3 Equation short.run 0.4456991 0.02134046 Equation long.run -0.3896215 0.52033605 $Bmiddle Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0004454577 0.7979691 0.1548678 -0.1307435 Equation long.run 0.0002353397 0.3336695 1.0721469 -0.4727591 long.run -2 short.run -3 long.run -3 Equation short.run -0.0656432114 0.2933218 -0.03619734 Equation long.run -0.0009976179 0.1069019 -0.03277579 $Bup Trend short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.08196992 -0.2762563 0.4744885 0.6618331 -0.22064211 Equation long.run 0.05351148 -0.6958524 0.9633793 1.7090649 -0.04039709 short.run -3 long.run -3 Equation short.run -0.08449418 -1.292346 Equation long.run -0.28423694 -1.825770 Threshold value[1] "1.303 3.403" Model TVAR with 2 thresholds $Bdown short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.738960 -0.04996655 -0.1004897 0.1932138 Equation long.run 1.908447 2.03573489 0.2308658 -1.5013174 short.run -3 long.run -3 Equation short.run -0.6271025 -0.1215220 Equation long.run -1.9975853 0.1980475 $Bmiddle short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.7489379 0.2008155 -0.1278684 -0.04705966 Equation long.run 0.3179876 1.0906321 -0.4798488 0.01310000 short.run -3 long.run -3 Equation short.run 0.2908514 -0.03197167 Equation long.run 0.1050995 -0.02994934 $Bup short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.69593440 -0.1641147 0.6185869 -0.28759096 Equation long.run -0.05863391 0.5454209 1.6813979 -0.08599033 short.run -3 long.run -3 Equation short.run 0.8839726 -0.7737211 Equation long.run 0.3459453 -1.4851939 Threshold value[1] "1.462 3.426" Model TVAR with 2 thresholds $Bdown Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.4305017 0.02216623 0.1763774 -0.1478934 -0.1493835 Equation long.run -1.5384452 0.02721567 -0.1346411 1.4356999 0.5048279 long.run -2 short.run -3 long.run -3 Equation short.run 0.2210767 0.3703831 0.07240279 Equation long.run -0.9238385 -0.1204715 0.33785922 $Bmiddle Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.6315862 0.002550059 0.6669783 0.1817529 -0.1420070 Equation long.run 0.7787212 0.002310757 0.1434010 1.1924029 -0.3760517 long.run -2 short.run -3 long.run -3 Equation short.run -0.06992192 0.1481058 -0.01979297 Equation long.run -0.20735832 -0.1446199 0.09431098 $Bup Intercept Trend short.run -1 long.run -1 short.run -2 Equation short.run 2.346920 0.0178570 0.2216736 0.6449105 0.1808928 Equation long.run 2.206915 -0.0207988 0.2114039 0.7976044 1.1130435 long.run -2 short.run -3 long.run -3 Equation short.run -0.9602518 -0.2376975 0.1305724 Equation long.run -0.6823657 -0.1306069 -0.5068193 Threshold value[1] "1.303 3.271" Model TVAR with 1 thresholds Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.081815464 1.682708 0.04366356 -0.00568836 Equation long.run 0.005292529 2.180189 1.90596148 0.46998323 long.run -2 short.run -3 long.run -3 short.run -1 Equation short.run 0.07028227 -0.6912389 -0.1139848 0.8202275 Equation long.run -1.49179533 -2.4780132 0.2512885 0.3543189 long.run -1 short.run -2 long.run -2 short.run -3 Equation short.run 0.1744145 -0.1119857 -0.1560821 0.2681697 Equation long.run 1.0853805 -0.2066311 -0.1385433 -0.1231087 long.run -3 Equation short.run -0.01644921 Equation long.run 0.01489930 Threshold value[1] "1.303" Model TVAR with 2 thresholds Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.005368229 1.664666 0.03455016 0.002502545 Equation long.run -0.084218492 2.159064 1.89529072 0.479573843 long.run -2 short.run -3 long.run -3 short.run -1 Equation short.run 0.08512357 -0.6503729 -0.1195007 0.8266050 Equation long.run -1.47441785 -2.4301638 0.2448300 0.3659666 long.run -1 short.run -2 long.run -2 short.run -3 Equation short.run 0.1517628 -0.1335581 -0.058563998 0.25941034 Equation long.run 1.0599717 -0.4601681 0.001067665 0.09793393 long.run -3 short.run -1 long.run -1 short.run -2 Equation short.run -0.02191748 0.69465310 -0.1625688 0.6182621 Equation long.run -0.02614104 -0.03853246 0.5211686 1.6864941 long.run -2 short.run -3 long.run -3 Equation short.run -0.28902774 0.8829113 -0.7725928 Equation long.run -0.06344971 0.3625943 -1.5028949 Threshold value[1] "1.303 3.426" $mod_1 [1] "3.173" $mod_2 [1] "3.189" $mod_3 [1] "3.189" $mod_4 [1] "3.173" $mod_5 [1] "3.091 3.405" $mod_6 [1] "3.058 3.344" $mod_7 [1] "3.058 3.344" $mod_8 [1] "3.058 3.357" $mod_9 [1] "3.173" $mod_10 [1] "3.173" $mod_11 [1] "3.173" $mod_12 [1] "3.173" $mod_13 [1] "3.062 3.357" $mod_14 [1] "3.058 3.369" $mod_15 [1] "3.173 3.748" $mod_16 [1] "3.173 3.712" $mod_17 [1] "3.173" $mod_18 [1] "3.008 3.214" $mod_19 [1] "3.173" $mod_20 [1] "3.062 3.357" $mod_21 [1] "3.003" $mod_22 [1] "3.713" $mod_23 [1] "3.003" $mod_24 [1] "3.713" $mod_25 [1] "3.003 3.195" $mod_26 [1] "3.003 3.195" $mod_27 [1] "3.003 3.195" $mod_28 [1] "3.003 3.195" $mod_29 [1] "3.003" $mod_30 [1] "3.003 3.195" $mod_31 [1] "1.473" $mod_32 [1] "3.426" $mod_33 [1] "3.426" $mod_34 [1] "1.545" $mod_35 [1] "1.473 3.426" $mod_36 [1] "1.696 3.426" $mod_37 [1] "1.696 3.426" $mod_38 [1] "1.545 3.426" $mod_39 [1] "1.665" $mod_40 [1] "3.426" $mod_41 [1] "3.426" $mod_42 [1] "1.473" $mod_43 [1] "1.665 3.426" $mod_44 [1] "1.665 3.426" $mod_45 [1] "1.665 3.426" $mod_46 [1] "1.473 3.426" $mod_47 [1] "3.426" $mod_48 [1] "1.665 3.426" $mod_49 [1] "3.426" $mod_50 [1] "1.665 3.426" $mod_51 [1] "1.303" $mod_52 [1] "1.303" $mod_53 [1] "1.303" $mod_54 [1] "1.303" $mod_55 [1] "1.303 3.271" $mod_56 [1] "1.303 3.403" $mod_57 [1] "1.462 3.426" $mod_58 [1] "1.303 3.271" $mod_59 [1] "1.303" $mod_60 [1] "1.303 3.426" > lapply(TVAR_outs, getTh) $mod_1 th 3.173 $mod_2 th 3.189 $mod_3 th 3.189 $mod_4 th 3.173 $mod_5 th1 th2 3.091 3.405 $mod_6 th1 th2 3.058 3.344 $mod_7 th1 th2 3.058 3.344 $mod_8 th1 th2 3.058 3.357 $mod_9 th 3.173 $mod_10 th 3.173 $mod_11 th 3.173 $mod_12 th 3.173 $mod_13 th1 th2 3.062 3.357 $mod_14 th1 th2 3.058 3.369 $mod_15 th1 th2 3.173 3.748 $mod_16 th1 th2 3.173 3.712 $mod_17 th 3.173 $mod_18 th1 th2 3.008 3.214 $mod_19 th 3.173 $mod_20 th1 th2 3.062 3.357 $mod_21 th 3.003 $mod_22 th 3.713 $mod_23 th 3.003 $mod_24 th 3.713 $mod_25 th1 th2 3.003 3.195 $mod_26 th1 th2 3.003 3.195 $mod_27 th1 th2 3.003 3.195 $mod_28 th1 th2 3.003 3.195 $mod_29 th 3.003 $mod_30 th1 th2 3.003 3.195 $mod_31 th 1.473 $mod_32 th 3.426 $mod_33 th 3.426 $mod_34 th 1.545 $mod_35 th1 th2 1.473 3.426 $mod_36 th1 th2 1.696 3.426 $mod_37 th1 th2 1.696 3.426 $mod_38 th1 th2 1.545 3.426 $mod_39 th 1.665 $mod_40 th 3.426 $mod_41 th 3.426 $mod_42 th 1.473 $mod_43 th1 th2 1.665 3.426 $mod_44 th1 th2 1.665 3.426 $mod_45 th1 th2 1.665 3.426 $mod_46 th1 th2 1.473 3.426 $mod_47 th 3.426 $mod_48 th1 th2 1.665 3.426 $mod_49 th 3.426 $mod_50 th1 th2 1.665 3.426 $mod_51 th 1.303 $mod_52 th 1.303 $mod_53 th 1.303 $mod_54 th 1.303 $mod_55 th1 th2 1.303 3.271 $mod_56 th1 th2 1.303 3.403 $mod_57 th1 th2 1.462 3.426 $mod_58 th1 th2 1.303 3.271 $mod_59 th 1.303 $mod_60 th1 th2 1.303 3.426 > lapply(TVAR_outs, summary) $mod_1 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 20 + 1 AIC -693.4198 BIC -639.1355 SSR 6.033018 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.2832(0.2404) 0.9397(0.1883) 0.0165(0.1139) -0.0692(0.1855) Equation long.run 0.3019(0.3207) 0.3587(0.2512) 1.1985(0.1520) -0.4576(0.2475) long.run -2 Equation short.run 0.0270(0.1188) Equation long.run -0.2143(0.1585) [[2]] Intercept short.run -1 long.run -1 Equation short.run 0.8745(0.4339) 0.7032(0.2116) -0.0077(0.1407) Equation long.run 1.0445(0.5787) 0.3369(0.2822) 0.4866(0.1877) short.run -2 long.run -2 Equation short.run 0.2306(0.1960) -0.1764(0.1177) Equation long.run -0.0659(0.2615) -0.0719(0.1570) Threshold value: 3.173 Percentage of Observations in each regime: 72.4% 27.6% $mod_2 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 20 + 1 AIC -694.4421 BIC -640.1577 SSR 6.079709 [[1]] Trend short.run -1 long.run -1 Equation short.run 0.0005(0.0009) 1.0287(0.1766) 0.0628(0.1151) Equation long.run -0.0004(0.0012) 0.4708(0.2387) 1.2196(0.1556) short.run -2 long.run -2 Equation short.run -0.0488(0.1767) -0.0329(0.1141) Equation long.run -0.4362(0.2388) -0.2560(0.1542) [[2]] Trend short.run -1 long.run -1 Equation short.run 0.0069(0.0031) 0.8782(0.1857) -0.0213(0.1391) Equation long.run 0.0057(0.0041) 0.5515(0.2511) 0.4612(0.1880) short.run -2 long.run -2 Equation short.run 0.0795(0.2240) -0.0951(0.1224) Equation long.run -0.1609(0.3029) -0.0029(0.1655) Threshold value: 3.189 Percentage of Observations in each regime: 73.5% 26.5% $mod_3 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 16 + 1 AIC -695.914 BIC -651.9696 SSR 6.301583 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 1.0392(0.1787) 0.0482(0.1137) -0.0505(0.1799) Equation long.run 0.4624(0.2371) 1.2313(0.1508) -0.4349(0.2388) long.run -2 Equation short.run -0.0212(0.1139) Equation long.run -0.2654(0.1512) [[2]] short.run -1 long.run -1 short.run -2 Equation short.run 0.8755(0.1892) -0.0449(0.1413) 0.3324(0.1978) Equation long.run 0.5493(0.2511) 0.4417(0.1875) 0.0487(0.2625) long.run -2 Equation short.run -0.1752(0.1194) Equation long.run -0.0693(0.1584) Threshold value: 3.189 Percentage of Observations in each regime: 73.5% 26.5% $mod_4 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 24 + 1 AIC -704.0109 BIC -639.3867 SSR 5.442117 [[1]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.7946(0.3376) 0.0026(0.0013) 0.7646(0.1947) 0.0675(0.1084) Equation long.run 0.4464(0.4770) 0.0007(0.0018) 0.3092(0.2752) 1.2129(0.1532) short.run -2 long.run -2 Equation short.run -0.1686(0.1786) 0.0422(0.1102) Equation long.run -0.4857(0.2524) -0.2100(0.1557) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 1.4814(0.4360) 0.0110(0.0031) 0.5638(0.1996) 0.0573(0.1315) Equation long.run 1.6050(0.6160) 0.0102(0.0044) 0.2081(0.2821) 0.5466(0.1858) short.run -2 long.run -2 Equation short.run -0.2170(0.2205) -0.0541(0.1142) Equation long.run -0.4792(0.3116) 0.0410(0.1613) Threshold value: 3.173 Percentage of Observations in each regime: 72.4% 27.6% $mod_5 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 30 + 2 AIC -686.9451 BIC -604.2262 SSR 5.359576 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.2588(0.2400) 1.0010(0.2014) -0.0303(0.1269) Equation long.run 0.2538(0.3101) 0.4796(0.2602) 1.1062(0.1639) short.run -2 long.run -2 Equation short.run -0.1216(0.1949) 0.0749(0.1318) Equation long.run -0.5611(0.2518) -0.1199(0.1702) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 5.1844(2.7743) -1.0350(0.9501) 0.5344(0.2556) 0.6156(0.3134) Equation long.run 7.3273(3.5840) -3.0715(1.2273) 1.9818(0.3301) 1.4852(0.4049) long.run -2 Equation short.run -0.6790(0.2424) Equation long.run -1.6386(0.3132) [[3]] Intercept short.run -1 long.run -1 Equation short.run 1.7057(0.8701) 0.3792(0.3217) -0.0089(0.1811) Equation long.run 1.8901(1.1240) -0.0081(0.4156) 0.6335(0.2339) short.run -2 long.run -2 Equation short.run 0.3090(0.2665) -0.1389(0.1220) Equation long.run -0.1263(0.3443) -0.0176(0.1576) Threshold value: 3.091 3.405 Percentage of Observations in each regime: 71.4% 10.2% 18.4% $mod_6 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 30 + 2 AIC -729.4219 BIC -646.703 SSR 4.589685 [[1]] Trend short.run -1 long.run -1 Equation short.run 0.0003(0.0009) 1.2029(0.1809) -0.0525(0.1262) Equation long.run -0.0001(0.0011) 0.5615(0.2352) 0.9416(0.1641) short.run -2 long.run -2 Equation short.run -0.2184(0.1851) 0.0843(0.1317) Equation long.run -0.5488(0.2407) 0.0533(0.1713) [[2]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0122(0.0027) 0.6066(0.2417) 0.5101(0.1969) 0.2348(0.3135) Equation long.run 0.0137(0.0035) -0.7883(0.3143) 2.0719(0.2560) 1.1464(0.4076) long.run -2 Equation short.run -0.5903(0.1999) Equation long.run -1.7388(0.2600) [[3]] Trend short.run -1 long.run -1 Equation short.run 0.0181(0.0077) 0.4395(0.2687) 0.3993(0.2131) Equation long.run -0.0181(0.0100) 0.7109(0.3494) 0.3767(0.2770) short.run -2 long.run -2 Equation short.run -0.1733(0.3253) -0.0560(0.1180) Equation long.run 0.4305(0.4230) -0.1463(0.1535) Threshold value: 3.058 3.344 Percentage of Observations in each regime: 68.4% 10.2% 21.4% $mod_7 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 24 + 2 AIC -692.6493 BIC -625.4402 SSR 5.794965 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 1.2038(0.2043) -0.0567(0.1416) -0.2134(0.2082) Equation long.run 0.5610(0.2560) 0.9439(0.1774) -0.5516(0.2608) long.run -2 Equation short.run 0.0852(0.1488) Equation long.run 0.0528(0.1864) [[2]] short.run -1 long.run -1 short.run -2 Equation short.run 0.5563(0.2728) 0.2159(0.2103) 0.6882(0.3360) Equation long.run -0.8446(0.3417) 1.7427(0.2635) 1.6539(0.4210) long.run -2 Equation short.run -0.4837(0.2243) Equation long.run -1.6194(0.2810) [[3]] short.run -1 long.run -1 short.run -2 Equation short.run 0.7387(0.2678) 0.0678(0.1813) 0.3477(0.2706) Equation long.run 0.4132(0.3355) 0.7065(0.2272) -0.0878(0.3390) long.run -2 Equation short.run -0.1564(0.1244) Equation long.run -0.0463(0.1559) Threshold value: 3.058 3.344 Percentage of Observations in each regime: 68.4% 10.2% 21.4% $mod_8 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 36 + 2 AIC -730.8556 BIC -632.6269 SSR 4.250102 [[1]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.3907(0.3519) 0.0014(0.0013) 1.0663(0.2140) -0.0370(0.1230) Equation long.run 0.2841(0.4666) 0.0007(0.0018) 0.4622(0.2838) 0.9529(0.1630) short.run -2 long.run -2 Equation short.run -0.2756(0.1865) 0.1129(0.1301) Equation long.run -0.5905(0.2472) 0.0742(0.1725) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 1.3672(1.5340) 0.0115(0.0024) 0.0620(0.6220) 0.5436(0.2061) Equation long.run 3.2044(2.0340) 0.0129(0.0032) -2.0302(0.8247) 2.2204(0.2733) short.run -2 long.run -2 Equation short.run 0.3929(0.3004) -0.6545(0.2110) Equation long.run 1.4225(0.3983) -1.9027(0.2798) [[3]] Intercept Trend short.run -1 Equation short.run 1.6250(0.6201) 0.0231(0.0081) -0.0236(0.3118) Equation long.run 1.3413(0.8221) -0.0176(0.0108) 0.3830(0.4134) long.run -1 short.run -2 long.run -2 Equation short.run 0.4374(0.2239) -0.3344(0.3391) -0.0107(0.1163) Equation long.run 0.3073(0.2968) 0.4387(0.4497) -0.1287(0.1542) Threshold value: 3.058 3.357 Percentage of Observations in each regime: 68.4% 11.2% 20.4% $mod_9 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 28 + 1 AIC -682.5048 BIC -607.8381 SSR 5.744725 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.1967(0.2625) 0.9025(0.1965) 0.0805(0.1361) -0.2602(0.2241) Equation long.run 0.2070(0.3570) 0.4333(0.2673) 1.1177(0.1851) -0.3853(0.3048) long.run -2 short.run -3 long.run -3 Equation short.run 0.0266(0.2008) 0.2765(0.1775) -0.0855(0.1267) Equation long.run -0.0630(0.2731) -0.1028(0.2414) -0.0828(0.1723) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.8205(0.4428) 0.6507(0.2200) 0.0195(0.1417) 0.0365(0.2529) Equation long.run 0.8843(0.6022) 0.3793(0.2993) 0.4793(0.1927) -0.0275(0.3440) long.run -2 short.run -3 long.run -3 Equation short.run -0.2650(0.1575) 0.3026(0.2240) 0.0253(0.1200) Equation long.run -0.2488(0.2142) -0.0140(0.3046) 0.1662(0.1632) Threshold value: 3.173 Percentage of Observations in each regime: 72.2% 27.8% $mod_10 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 28 + 1 AIC -681.4627 BIC -606.7961 SSR 5.79395 [[1]] Trend short.run -1 long.run -1 Equation short.run 0.0003(0.0009) 0.9481(0.1870) 0.0942(0.1375) Equation long.run -0.0001(0.0013) 0.4851(0.2535) 1.1243(0.1865) short.run -2 long.run -2 short.run -3 Equation short.run -0.2491(0.2252) 0.0299(0.2021) 0.3022(0.1745) Equation long.run -0.3753(0.3053) -0.0625(0.2740) -0.0700(0.2366) long.run -3 Equation short.run -0.1213(0.1221) Equation long.run -0.1127(0.1656) [[2]] Trend short.run -1 long.run -1 Equation short.run 0.0058(0.0035) 0.9013(0.1930) -0.0207(0.1408) Equation long.run 0.0066(0.0047) 0.6518(0.2617) 0.4360(0.1908) short.run -2 long.run -2 short.run -3 Equation short.run 0.0550(0.2534) -0.2422(0.1613) 0.0626(0.2505) Equation long.run -0.0119(0.3435) -0.2209(0.2187) -0.2829(0.3396) long.run -3 Equation short.run 0.1173(0.1200) Equation long.run 0.2675(0.1626) Threshold value: 3.173 Percentage of Observations in each regime: 72.2% 27.8% $mod_11 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 24 + 1 AIC -685.7517 BIC -621.3839 SSR 5.953759 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 0.9508(0.1878) 0.0887(0.1372) -0.2503(0.2263) Equation long.run 0.4842(0.2532) 1.1262(0.1850) -0.3749(0.3052) long.run -2 short.run -3 long.run -3 Equation short.run 0.0278(0.2031) 0.3064(0.1750) -0.1157(0.1216) Equation long.run -0.0618(0.2738) -0.0714(0.2359) -0.1146(0.1639) [[2]] short.run -1 long.run -1 short.run -2 Equation short.run 0.8565(0.1922) -0.0222(0.1415) 0.1368(0.2499) Equation long.run 0.6011(0.2591) 0.4344(0.1908) 0.0807(0.3370) long.run -2 short.run -3 long.run -3 Equation short.run -0.3034(0.1579) 0.2511(0.2248) 0.0767(0.1181) Equation long.run -0.2902(0.2129) -0.0695(0.3031) 0.2216(0.1593) Threshold value: 3.173 Percentage of Observations in each regime: 72.2% 27.8% $mod_12 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 32 + 1 AIC -687.1383 BIC -602.1729 SSR 5.269641 [[1]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.6449(0.3916) 0.0021(0.0014) 0.7735(0.2063) 0.0996(0.1302) Equation long.run 0.4533(0.5475) 0.0011(0.0019) 0.3624(0.2884) 1.1281(0.1820) short.run -2 long.run -2 short.run -3 Equation short.run -0.2748(0.2136) 0.0382(0.1913) 0.1803(0.1810) Equation long.run -0.3934(0.2987) -0.0566(0.2675) -0.1557(0.2530) long.run -3 Equation short.run -0.0548(0.1224) Equation long.run -0.0659(0.1711) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 1.4019(0.4672) 0.0105(0.0036) 0.5859(0.2107) 0.0517(0.1353) Equation long.run 1.5322(0.6532) 0.0117(0.0051) 0.3071(0.2946) 0.5152(0.1892) short.run -2 long.run -2 short.run -3 Equation short.run -0.1826(0.2525) -0.1270(0.1574) -0.0023(0.2380) Equation long.run -0.2716(0.3530) -0.0950(0.2200) -0.3538(0.3327) long.run -3 Equation short.run 0.0623(0.1150) Equation long.run 0.2075(0.1607) Threshold value: 3.173 Percentage of Observations in each regime: 72.2% 27.8% $mod_13 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 42 + 2 AIC -690.9993 BIC -577.712 SSR 4.537429 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.0093(0.2488) 1.1263(0.2034) -0.0119(0.1346) Equation long.run 0.1330(0.3451) 0.5738(0.2821) 1.0035(0.1866) short.run -2 long.run -2 short.run -3 Equation short.run -0.3872(0.2147) 0.1230(0.1873) 0.2558(0.1642) Equation long.run -0.4591(0.2978) 0.0114(0.2598) -0.1393(0.2277) long.run -3 Equation short.run -0.0932(0.1202) Equation long.run -0.0451(0.1668) [[2]] Intercept short.run -1 long.run -1 Equation short.run -0.2317(1.8263) 0.1401(0.7492) 1.0544(0.2852) Equation long.run 4.2646(2.5331) -2.9068(1.0392) 2.7100(0.3956) short.run -2 long.run -2 short.run -3 Equation short.run 2.8280(0.6635) -2.8404(0.6417) -1.7228(0.5534) Equation long.run 4.1219(0.9202) -4.2165(0.8901) -1.8754(0.7676) long.run -3 Equation short.run 1.5777(0.4372) Equation long.run 1.7862(0.6065) [[3]] Intercept short.run -1 long.run -1 Equation short.run 1.6324(0.6378) 0.1093(0.2986) 0.0962(0.1711) Equation long.run 1.6623(0.8847) -0.0975(0.4142) 0.6804(0.2374) short.run -2 long.run -2 short.run -3 Equation short.run -0.0497(0.2969) -0.2830(0.1495) 0.7137(0.2645) Equation long.run -0.2457(0.4118) -0.2079(0.2073) 0.3213(0.3669) long.run -3 Equation short.run -0.0127(0.1136) Equation long.run 0.1009(0.1576) Threshold value: 3.062 3.357 Percentage of Observations in each regime: 69.1% 10.3% 20.6% $mod_14 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 42 + 2 AIC -729.6564 BIC -616.3691 SSR 3.701224 [[1]] Trend short.run -1 long.run -1 Equation short.run 0.0003(0.0009) 1.1262(0.1880) -0.0105(0.1339) Equation long.run 4.3e-05(0.0010) 0.5301(0.2267) 0.9592(0.1615) short.run -2 long.run -2 short.run -3 Equation short.run -0.3938(0.2147) 0.1276(0.1852) 0.2603(0.1679) Equation long.run -0.5598(0.2590) 0.0535(0.2233) 0.0395(0.2025) long.run -3 Equation short.run -0.0961(0.1144) Equation long.run -0.0184(0.1379) [[2]] Trend short.run -1 long.run -1 Equation short.run 0.0145(0.0030) 0.8514(0.2762) 0.2446(0.2313) Equation long.run 0.0179(0.0036) -0.3563(0.3331) 1.7016(0.2789) short.run -2 long.run -2 short.run -3 Equation short.run -0.0481(0.5509) -0.0053(0.5432) -0.0403(0.3970) Equation long.run 1.2338(0.6644) -1.2079(0.6551) -0.7433(0.4787) long.run -3 Equation short.run -0.2834(0.3798) Equation long.run -0.0067(0.4580) [[3]] Trend short.run -1 long.run -1 Equation short.run 0.0027(0.0116) 0.4815(0.2691) 0.2198(0.2480) Equation long.run -0.0585(0.0140) 0.8500(0.3245) -0.1707(0.2991) short.run -2 long.run -2 short.run -3 Equation short.run -0.0862(0.3508) -0.3115(0.1665) 0.6437(0.3633) Equation long.run 0.7563(0.4230) -0.6243(0.2008) 1.5484(0.4381) long.run -3 Equation short.run 0.0015(0.1212) Equation long.run -0.1243(0.1462) Threshold value: 3.058 3.369 Percentage of Observations in each regime: 68% 12.4% 19.6% $mod_15 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 36 + 2 AIC -709.0451 BIC -611.206 SSR 4.907752 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 0.9508(0.1670) 0.0887(0.1220) -0.2503(0.2013) Equation long.run 0.4842(0.2454) 1.1262(0.1793) -0.3749(0.2958) long.run -2 short.run -3 long.run -3 Equation short.run 0.0278(0.1806) 0.3064(0.1556) -0.1157(0.1081) Equation long.run -0.0618(0.2654) -0.0714(0.2287) -0.1146(0.1589) [[2]] short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.7881(0.2246) 0.1988(0.2009) 1.0605(0.3174) -0.9341(0.2360) Equation long.run 0.9380(0.3301) 0.1672(0.2951) 0.3802(0.4663) -0.3868(0.3467) short.run -3 long.run -3 Equation short.run -0.5962(0.2772) 0.4815(0.1354) Equation long.run -0.6339(0.4073) 0.5113(0.1990) [[3]] short.run -1 long.run -1 short.run -2 Equation short.run 0.5129(0.3133) 0.0584(0.2021) -0.5504(0.3938) Equation long.run -0.1648(0.4604) 0.9290(0.2969) 0.3205(0.5787) long.run -2 short.run -3 long.run -3 Equation short.run -0.1727(0.3378) 1.3092(0.3424) -0.1590(0.3241) Equation long.run 0.3176(0.4964) 0.2425(0.5031) -0.6801(0.4763) Threshold value: 3.173 3.748 Percentage of Observations in each regime: 72.2% 17.5% 10.3% $mod_16 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 48 + 2 AIC -730.2492 BIC -601.5137 SSR 3.405836 [[1]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.6449(0.3288) 0.0021(0.0012) 0.7735(0.1732) 0.0996(0.1093) Equation long.run 0.4533(0.4656) 0.0011(0.0017) 0.3624(0.2453) 1.1281(0.1548) short.run -2 long.run -2 short.run -3 Equation short.run -0.2748(0.1794) 0.0382(0.1606) 0.1803(0.1519) Equation long.run -0.3934(0.2540) -0.0566(0.2275) -0.1557(0.2152) long.run -3 Equation short.run -0.0548(0.1028) Equation long.run -0.0659(0.1456) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.6306(0.8305) 0.0131(0.0035) 0.9921(0.3780) 0.0813(0.2507) Equation long.run 2.9390(1.1761) 0.0239(0.0050) 0.2648(0.5353) 0.4480(0.3550) short.run -2 long.run -2 short.run -3 Equation short.run 0.3623(0.3472) -0.4513(0.2512) -0.8221(0.3226) Equation long.run -0.8291(0.4917) 0.5273(0.3557) -0.5680(0.4568) long.run -3 Equation short.run 0.3923(0.2664) Equation long.run -0.2023(0.3773) [[3]] Intercept Trend short.run -1 Equation short.run -6.0010(2.2402) -0.0467(0.0184) 2.2048(0.6916) Equation long.run -7.0356(3.1724) -0.0983(0.0261) 2.6041(0.9793) long.run -1 short.run -2 long.run -2 Equation short.run -0.6763(0.3727) 0.4700(0.3631) -0.2795(0.1633) Equation long.run -0.7570(0.5278) 1.3348(0.5142) -0.7051(0.2313) short.run -3 long.run -3 Equation short.run 2.5206(0.5472) -0.7255(0.1988) Equation long.run 3.1275(0.7750) -0.7336(0.2815) Threshold value: 3.173 3.712 Percentage of Observations in each regime: 72.2% 15.5% 12.4% $mod_17 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 18 + 1 AIC -695.5749 BIC -646.4605 SSR 6.123373 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.4221(0.2108) 0.9044(0.1864) 0.0068(0.1139) -0.0945(0.1847) Equation long.run 0.4764(0.2809) 0.3144(0.2485) 1.1863(0.1518) -0.4894(0.2462) long.run -2 short.run -1 long.run -1 Equation short.run 0.0493(0.1176) 0.8103(0.1920) -0.0281(0.1400) Equation long.run -0.1863(0.1567) 0.4714(0.2559) 0.4609(0.1866) short.run -2 long.run -2 Equation short.run 0.2641(0.1945) -0.1724(0.1179) Equation long.run -0.0238(0.2591) -0.0670(0.1572) Threshold value: 3.173 Percentage of Observations in each regime: 72.4% 27.6% $mod_18 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 26 + 2 AIC -667.9351 BIC -595.556 SSR 6.67732 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.0477(0.2557) 1.1215(0.2303) -0.0209(0.1552) Equation long.run -0.1355(0.3537) 0.5585(0.3186) 0.9742(0.2147) short.run -2 long.run -2 short.run -1 Equation short.run -0.1665(0.2147) 0.0760(0.1592) 0.6689(0.3324) Equation long.run -0.5002(0.2970) 0.0278(0.2202) -0.3658(0.4598) long.run -1 short.run -2 long.run -2 short.run -1 Equation short.run 0.1414(0.1964) 0.4612(0.3601) -0.2991(0.2071) 0.8040(0.2198) Equation long.run 1.7163(0.2717) 0.8159(0.4981) -1.1410(0.2864) 0.5066(0.3040) long.run -1 short.run -2 long.run -2 Equation short.run 0.1811(0.1736) 0.1881(0.2205) -0.1948(0.1233) Equation long.run 0.9014(0.2402) -0.2847(0.3050) -0.1107(0.1706) Threshold value: 3.008 3.214 Percentage of Observations in each regime: 65.3% 10.2% 24.5% $mod_19 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 26 + 1 AIC -684.7229 BIC -615.2057 SSR 5.822445 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.3589(0.2264) 0.8626(0.1943) 0.0739(0.1363) -0.2683(0.2247) Equation long.run 0.3831(0.3070) 0.3900(0.2634) 1.1104(0.1848) -0.3942(0.3046) long.run -2 short.run -3 long.run -3 Equation short.run 0.0256(0.2013) 0.2519(0.1768) -0.0606(0.1254) Equation long.run -0.0641(0.2729) -0.1295(0.2397) -0.0558(0.1700) short.run -1 long.run -1 short.run -2 Equation short.run 0.7665(0.1988) -0.0040(0.1407) 0.0929(0.2493) Equation long.run 0.5050(0.2695) 0.4538(0.1908) 0.0338(0.3380) long.run -2 short.run -3 long.run -3 Equation short.run -0.2866(0.1569) 0.2736(0.2233) 0.0543(0.1179) Equation long.run -0.2722(0.2127) -0.0454(0.3028) 0.1976(0.1599) Threshold value: 3.173 Percentage of Observations in each regime: 72.2% 27.8% $mod_20 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 38 + 2 AIC -686.5858 BIC -583.5974 SSR 4.848356 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.2165(0.2353) 1.0625(0.2060) -0.0156(0.1377) Equation long.run 0.3974(0.3250) 0.4924(0.2844) 0.9989(0.1901) short.run -2 long.run -2 short.run -3 Equation short.run -0.3869(0.2197) 0.1161(0.1916) 0.2274(0.1674) Equation long.run -0.4588(0.3034) 0.0026(0.2646) -0.1755(0.2312) long.run -3 short.run -1 long.run -1 Equation short.run -0.0622(0.1222) -0.0296(0.3084) 1.0777(0.2755) Equation long.run -0.0055(0.1687) -1.4427(0.4259) 2.5088(0.3804) short.run -2 long.run -2 short.run -3 Equation short.run 2.8363(0.6781) -2.8547(0.6540) -1.7037(0.5608) Equation long.run 4.0503(0.9363) -4.0925(0.9031) -2.0405(0.7744) long.run -3 short.run -1 long.run -1 short.run -2 Equation short.run 1.5736(0.4471) 0.4694(0.2634) 0.1489(0.1737) -0.0071(0.3033) Equation long.run 1.8220(0.6174) 0.2242(0.3638) 0.7275(0.2398) -0.2077(0.4188) long.run -2 short.run -3 long.run -3 Equation short.run -0.2957(0.1529) 0.6371(0.2687) 0.0004(0.1162) Equation long.run -0.2192(0.2111) 0.2529(0.3710) 0.1126(0.1604) Threshold value: 3.062 3.357 Percentage of Observations in each regime: 69.1% 10.3% 20.6% $mod_21 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 28 + 1 AIC -661.5168 BIC -586.8502 SSR 6.865831 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.2215(0.3007) 0.9062(0.2349) 0.1300(0.1648) -0.2576(0.3343) Equation long.run 0.0596(0.4324) 0.1808(0.3377) 1.1266(0.2369) -0.3319(0.4807) long.run -2 short.run -3 long.run -3 Equation short.run -0.1493(0.2269) 0.2465(0.2378) 0.0618(0.1608) Equation long.run -0.2736(0.3262) 0.1115(0.3419) 0.1864(0.2312) [[2]] Intercept short.run -1 long.run -1 Equation short.run 0.1864(0.3709) 0.8571(0.1808) 0.1006(0.1216) Equation long.run -0.2436(0.5333) 0.7044(0.2600) 0.8242(0.1748) short.run -2 long.run -2 short.run -3 Equation short.run -0.1110(0.2237) -0.1244(0.1574) 0.3117(0.1881) Equation long.run -0.0918(0.3216) -0.0937(0.2263) -0.2510(0.2705) long.run -3 Equation short.run -0.0944(0.1082) Equation long.run -0.0608(0.1555) Threshold value: 3.003 Percentage of Observations in each regime: 64.9% 35.1% $mod_22 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 28 + 1 AIC -689.858 BIC -615.1914 SSR 6.227308 [[1]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0013(0.0007) 0.8093(0.1387) 0.0999(0.0879) 0.0792(0.1712) Equation long.run 0.0018(0.0012) 0.3929(0.2174) 1.0272(0.1378) -0.0764(0.2684) long.run -2 short.run -3 long.run -3 Equation short.run -0.1085(0.1324) 0.1063(0.1394) 0.0038(0.0991) Equation long.run -0.0668(0.2075) -0.2641(0.2185) -0.0590(0.1554) [[2]] Trend short.run -1 long.run -1 Equation short.run -0.0247(0.0198) 0.9460(0.4696) 0.3983(0.3938) Equation long.run -0.0962(0.0310) 2.1786(0.7362) -0.2785(0.6174) short.run -2 long.run -2 short.run -3 Equation short.run -0.2030(0.4278) -1.0539(0.3634) 1.6917(0.5080) Equation long.run 0.3458(0.6707) -1.3081(0.5696) 2.4364(0.7963) long.run -3 Equation short.run -0.2882(0.1602) Equation long.run -0.3616(0.2512) Threshold value: 3.713 Percentage of Observations in each regime: 89.7% 10.3% $mod_23 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 24 + 1 AIC -666.9848 BIC -602.6171 SSR 6.899967 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 0.9072(0.2332) 0.1379(0.1632) -0.1940(0.3207) Equation long.run 0.1811(0.3342) 1.1287(0.2339) -0.3148(0.4596) long.run -2 short.run -3 long.run -3 Equation short.run -0.1622(0.2246) 0.2786(0.2321) 0.0485(0.1587) Equation long.run -0.2770(0.3218) 0.1202(0.3326) 0.1828(0.2273) [[2]] short.run -1 long.run -1 short.run -2 Equation short.run 0.8730(0.1768) 0.0904(0.1190) -0.0704(0.2071) Equation long.run 0.6837(0.2533) 0.8375(0.1705) -0.1448(0.2967) long.run -2 short.run -3 long.run -3 Equation short.run -0.1370(0.1542) 0.3237(0.1853) -0.0882(0.1067) Equation long.run -0.0771(0.2210) -0.2665(0.2655) -0.0690(0.1529) Threshold value: 3.003 Percentage of Observations in each regime: 64.9% 35.1% $mod_24 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 32 + 1 AIC -686.5036 BIC -601.5382 SSR 6.077501 [[1]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.3980(0.2635) 0.0027(0.0012) 0.7462(0.1440) 0.1264(0.0891) Equation long.run 0.2398(0.4167) 0.0026(0.0019) 0.3549(0.2278) 1.0431(0.1409) short.run -2 long.run -2 short.run -3 Equation short.run 0.0189(0.1748) -0.1005(0.1317) 0.0182(0.1503) Equation long.run -0.1128(0.2764) -0.0620(0.2082) -0.3171(0.2377) long.run -3 Equation short.run 0.0324(0.1003) Equation long.run -0.0418(0.1586) [[2]] Intercept Trend short.run -1 Equation short.run -3.3237(3.7999) -0.0280(0.0200) 1.1560(0.5248) Equation long.run -6.7065(6.0098) -0.1029(0.0317) 2.6024(0.8300) long.run -1 short.run -2 long.run -2 Equation short.run 0.2974(0.4080) 0.3328(0.7457) -0.9348(0.3859) Equation long.run -0.4821(0.6453) 1.4270(1.1793) -1.0678(0.6104) short.run -3 long.run -3 Equation short.run 2.0108(0.6228) -0.4464(0.2410) Equation long.run 3.0803(0.9850) -0.6808(0.3811) Threshold value: 3.713 Percentage of Observations in each regime: 89.7% 10.3% $mod_25 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 42 + 2 AIC -681.0605 BIC -567.7733 SSR 5.028484 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.2215(0.2803) 0.9062(0.2189) 0.1300(0.1535) -0.2576(0.3116) Equation long.run 0.0596(0.3786) 0.1808(0.2957) 1.1266(0.2074) -0.3319(0.4209) long.run -2 short.run -3 long.run -3 Equation short.run -0.1493(0.2114) 0.2465(0.2216) 0.0618(0.1499) Equation long.run -0.2736(0.2856) 0.1115(0.2993) 0.1864(0.2025) [[2]] Intercept short.run -1 long.run -1 Equation short.run 2.4080(4.3303) 1.5049(0.3316) -0.5229(0.2772) Equation long.run 7.6863(5.8498) 1.9880(0.4479) -0.1931(0.3745) short.run -2 long.run -2 short.run -3 Equation short.run -1.1034(1.1466) 0.8352(0.4947) 0.1434(0.5454) Equation long.run -2.7957(1.5490) 1.4929(0.6683) -0.9795(0.7368) long.run -3 Equation short.run -0.6939(0.3667) Equation long.run -1.1526(0.4954) [[3]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 1.1324(0.5153) 0.7043(0.2204) 0.2812(0.1702) -0.0422(0.2353) Equation long.run 0.3852(0.6962) 0.5800(0.2977) 0.8541(0.2299) -0.0148(0.3178) long.run -2 short.run -3 long.run -3 Equation short.run -0.5346(0.2017) 0.2562(0.2070) 0.0182(0.1199) Equation long.run -0.2392(0.2724) -0.4554(0.2796) 0.1486(0.1619) Threshold value: 3.003 3.195 Percentage of Observations in each regime: 64.9% 10.3% 24.7% $mod_26 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 42 + 2 AIC -677.2671 BIC -563.9798 SSR 4.974008 [[1]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0013(0.0010) 0.8774(0.2230) 0.1429(0.1553) -0.1592(0.3062) Equation long.run 0.0016(0.0013) 0.1449(0.2926) 1.1348(0.2038) -0.2725(0.4018) long.run -2 short.run -3 long.run -3 Equation short.run -0.1473(0.2139) 0.2451(0.2222) 0.0444(0.1509) Equation long.run -0.2590(0.2807) 0.0795(0.2917) 0.1779(0.1980) [[2]] Trend short.run -1 long.run -1 Equation short.run -0.0052(0.0038) 1.9746(0.4784) -0.8190(0.2878) Equation long.run -0.0087(0.0050) 2.7723(0.6279) -0.8079(0.3777) short.run -2 long.run -2 short.run -3 Equation short.run -0.5515(0.4218) 1.1431(0.4074) 0.1311(0.4007) Equation long.run -0.9694(0.5536) 2.2648(0.5347) -0.6496(0.5259) long.run -3 Equation short.run -0.8494(0.2692) Equation long.run -1.6263(0.3533) [[3]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0011(0.0033) 0.8017(0.2208) 0.2274(0.1708) 0.1230(0.2311) Equation long.run -0.0013(0.0043) 0.6332(0.2897) 0.8385(0.2242) 0.0211(0.3034) long.run -2 short.run -3 long.run -3 Equation short.run -0.4883(0.2041) 0.2598(0.2367) 0.0479(0.1251) Equation long.run -0.2318(0.2678) -0.3961(0.3106) 0.1424(0.1641) Threshold value: 3.003 3.195 Percentage of Observations in each regime: 64.9% 10.3% 24.7% $mod_27 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 36 + 2 AIC -682.2468 BIC -584.4078 SSR 5.251379 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 0.9072(0.2227) 0.1379(0.1559) -0.1940(0.3062) Equation long.run 0.1811(0.2939) 1.1287(0.2057) -0.3148(0.4042) long.run -2 short.run -3 long.run -3 Equation short.run -0.1622(0.2144) 0.2786(0.2216) 0.0485(0.1515) Equation long.run -0.2770(0.2831) 0.1202(0.2925) 0.1828(0.2000) [[2]] short.run -1 long.run -1 short.run -2 Equation short.run 1.5049(0.3373) -0.6021(0.2420) -0.5091(0.4224) Equation long.run 1.9882(0.4453) -0.4459(0.3194) -0.8985(0.5576) long.run -2 short.run -3 long.run -3 Equation short.run 1.0046(0.3965) 0.3734(0.3616) -0.8346(0.2701) Equation long.run 2.0337(0.5234) -0.2452(0.4773) -1.6015(0.3566) [[3]] short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.8149(0.2183) 0.2292(0.1715) 0.1096(0.2288) -0.4938(0.2043) Equation long.run 0.6176(0.2881) 0.8364(0.2263) 0.0368(0.3020) -0.2253(0.2696) short.run -3 long.run -3 Equation short.run 0.2982(0.2097) 0.0372(0.1216) Equation long.run -0.4411(0.2767) 0.1550(0.1606) Threshold value: 3.003 3.195 Percentage of Observations in each regime: 64.9% 10.3% 24.7% $mod_28 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 48 + 2 AIC -694.4521 BIC -565.7165 SSR 4.370522 [[1]] Intercept Trend short.run -1 long.run -1 Equation short.run 1.4148(0.4258) 0.0054(0.0015) 0.7780(0.2034) 0.1079(0.1405) Equation long.run 1.1395(0.6112) 0.0049(0.0022) 0.0648(0.2919) 1.1066(0.2016) short.run -2 long.run -2 short.run -3 Equation short.run -0.4570(0.2904) -0.0194(0.1967) -0.0642(0.2210) Equation long.run -0.5123(0.4168) -0.1560(0.2824) -0.1697(0.3173) long.run -3 Equation short.run 0.1171(0.1379) Equation long.run 0.2365(0.1979) [[2]] Intercept Trend short.run -1 Equation short.run 1.7907(3.9798) -0.0051(0.0034) 1.9599(0.4329) Equation long.run 6.6971(5.7124) -0.0081(0.0049) 2.7173(0.6213) long.run -1 short.run -2 long.run -2 Equation short.run -0.7533(0.2978) -0.9922(1.0507) 1.0128(0.4679) Equation long.run -0.5623(0.4274) -2.6175(1.5081) 1.7775(0.6716) short.run -3 long.run -3 Equation short.run -0.0324(0.5126) -0.7443(0.3369) Equation long.run -1.2612(0.7357) -1.2334(0.4835) [[3]] Intercept Trend short.run -1 long.run -1 Equation short.run 1.6567(0.5479) 0.0064(0.0034) 0.5775(0.2125) 0.2949(0.1557) Equation long.run 0.3753(0.7864) -0.0001(0.0049) 0.5824(0.3050) 0.8538(0.2235) short.run -2 long.run -2 short.run -3 Equation short.run -0.0362(0.2151) -0.5221(0.1844) 0.0176(0.2281) Equation long.run -0.0150(0.3087) -0.2394(0.2647) -0.4509(0.3273) long.run -3 Equation short.run 0.0706(0.1131) Equation long.run 0.1476(0.1623) Threshold value: 3.003 3.195 Percentage of Observations in each regime: 64.9% 10.3% 24.7% $mod_29 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 26 + 1 AIC -665.1815 BIC -595.6643 SSR 6.876853 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.2076(0.2322) 0.9063(0.2335) 0.1305(0.1636) Equation long.run -0.0607(0.3342) 0.1814(0.3361) 1.1309(0.2356) short.run -2 long.run -2 short.run -3 Equation short.run -0.2536(0.3279) -0.1501(0.2252) 0.2485(0.2348) Equation long.run -0.2973(0.4721) -0.2805(0.3242) 0.1290(0.3380) long.run -3 short.run -1 long.run -1 short.run -2 Equation short.run 0.0610(0.1595) 0.8553(0.1781) 0.1017(0.1198) -0.1156(0.2134) Equation long.run 0.1792(0.2295) 0.6888(0.2564) 0.8342(0.1725) -0.1316(0.3072) long.run -2 short.run -3 long.run -3 Equation short.run -0.1229(0.1552) 0.3104(0.1861) -0.0952(0.1071) Equation long.run -0.0812(0.2234) -0.2627(0.2679) -0.0670(0.1542) Threshold value: 3.003 Percentage of Observations in each regime: 64.9% 35.1% $mod_30 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 38 + 2 AIC -682.912 BIC -579.9236 SSR 5.168062 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.4358(0.2468) 0.9052(0.2197) 0.1223(0.1541) -0.3191(0.3104) Equation long.run 0.1583(0.3317) 0.1804(0.2954) 1.1230(0.2071) -0.3602(0.4172) long.run -2 short.run -3 long.run -3 short.run -1 Equation short.run -0.1369(0.2121) 0.2154(0.2216) 0.0748(0.1502) 1.5049(0.3329) Equation long.run -0.2679(0.2851) 0.0972(0.2979) 0.1924(0.2019) 1.9882(0.4475) long.run -1 short.run -2 long.run -2 Equation short.run -0.5878(0.2389) -0.6166(0.4213) 0.9740(0.3917) Equation long.run -0.4407(0.3211) -0.9376(0.5663) 2.0226(0.5265) short.run -3 long.run -3 short.run -1 Equation short.run 0.3318(0.3576) -0.8091(0.2670) 0.7723(0.2168) Equation long.run -0.2603(0.4807) -1.5923(0.3588) 0.6022(0.2914) long.run -1 short.run -2 long.run -2 Equation short.run 0.2492(0.1696) 0.0512(0.2282) -0.5095(0.2018) Equation long.run 0.8436(0.2279) 0.0156(0.3067) -0.2310(0.2712) short.run -3 long.run -3 Equation short.run 0.2820(0.2071) 0.0299(0.1201) Equation long.run -0.4470(0.2784) 0.1523(0.1614) Threshold value: 3.003 3.195 Percentage of Observations in each regime: 64.9% 10.3% 24.7% $mod_31 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 20 + 1 AIC -680.3642 BIC -626.0798 SSR 6.555661 [[1]] Intercept short.run -1 long.run -1 Equation short.run -1.1964(0.4971) 1.1891(0.5291) 0.2001(0.3606) Equation long.run -1.9972(0.7132) 1.3230(0.7591) 1.6894(0.5173) short.run -2 long.run -2 Equation short.run 0.3203(0.6000) -0.2354(0.2652) Equation long.run -0.3973(0.8608) -0.9129(0.3804) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.2992(0.1453) 0.7972(0.1408) 0.1793(0.0942) 0.0253(0.1377) Equation long.run 0.1362(0.2084) 0.2923(0.2020) 1.1323(0.1352) -0.3309(0.1976) long.run -2 Equation short.run -0.0832(0.0841) Equation long.run -0.1445(0.1207) Threshold value: 1.473 Percentage of Observations in each regime: 17.3% 82.7% $mod_32 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 20 + 1 AIC -689.6446 BIC -635.3603 SSR 6.55954 [[1]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0010(0.0007) 0.9300(0.1307) 0.0286(0.0777) 0.0598(0.1326) Equation long.run 0.0014(0.0011) 0.4318(0.2092) 1.0598(0.1243) -0.3984(0.2123) long.run -2 Equation short.run -0.0233(0.0771) Equation long.run -0.1205(0.1234) [[2]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0126(0.0096) 0.4084(0.3536) 0.9072(0.3422) 0.6547(0.4025) Equation long.run -0.0186(0.0153) 0.3556(0.5658) 1.3479(0.5477) 1.1169(0.6441) long.run -2 Equation short.run -1.2713(0.2894) Equation long.run -1.4742(0.4632) Threshold value: 3.426 Percentage of Observations in each regime: 88.8% 11.2% $mod_33 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 16 + 1 AIC -686.421 BIC -642.4766 SSR 6.803553 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 0.9433(0.1318) 0.0281(0.0785) 0.0613(0.1340) Equation long.run 0.4501(0.2099) 1.0590(0.1250) -0.3962(0.2135) long.run -2 Equation short.run -0.0199(0.0778) Equation long.run -0.1159(0.1240) [[2]] short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.6325(0.3131) 0.7137(0.3122) 0.9565(0.3342) -1.3354(0.2882) Equation long.run 0.0254(0.4988) 1.6331(0.4974) 0.6721(0.5325) -1.3797(0.4592) Threshold value: 3.426 Percentage of Observations in each regime: 88.8% 11.2% $mod_34 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 24 + 1 AIC -692.5548 BIC -627.9306 SSR 5.926657 [[1]] Intercept Trend short.run -1 Equation short.run -2.3266(1.3834) -0.0066(0.0066) 1.3525(0.5429) Equation long.run -7.9239(1.9258) -0.0322(0.0092) 2.1060(0.7558) long.run -1 short.run -2 long.run -2 Equation short.run 0.2719(0.3299) 0.7098(0.7763) -0.2559(0.2629) Equation long.run 1.7685(0.4593) 1.8410(1.0806) -1.1052(0.3659) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.6570(0.2158) 0.0028(0.0013) 0.7027(0.1444) 0.2041(0.0931) Equation long.run 0.2559(0.3004) 0.0012(0.0017) 0.2510(0.2010) 1.1444(0.1297) short.run -2 long.run -2 Equation short.run -0.0669(0.1419) -0.0830(0.0827) Equation long.run -0.3557(0.1975) -0.1490(0.1151) Threshold value: 1.545 Percentage of Observations in each regime: 18.4% 81.6% $mod_35 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 30 + 2 AIC -697.4415 BIC -614.7225 SSR 5.180755 [[1]] Intercept short.run -1 long.run -1 Equation short.run -1.1964(0.4240) 1.1891(0.4512) 0.2001(0.3075) Equation long.run -1.9972(0.6735) 1.3230(0.7167) 1.6894(0.4884) short.run -2 long.run -2 Equation short.run 0.3203(0.5117) -0.2354(0.2261) Equation long.run -0.3973(0.8129) -0.9129(0.3592) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.2623(0.1311) 0.7410(0.1350) 0.1852(0.0871) 0.0206(0.1311) Equation long.run 0.1114(0.2083) 0.2582(0.2145) 1.1536(0.1384) -0.3790(0.2083) long.run -2 Equation short.run 0.0075(0.0751) Equation long.run -0.0469(0.1193) [[3]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.6703(0.7652) 0.5862(0.2899) 0.6488(0.2938) 0.8639(0.3222) Equation long.run -0.5020(1.2155) 0.0600(0.4606) 1.6817(0.4667) 0.7415(0.5119) long.run -2 Equation short.run -1.3109(0.2639) Equation long.run -1.3980(0.4193) Threshold value: 1.473 3.426 Percentage of Observations in each regime: 17.3% 71.4% 11.2% $mod_36 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 30 + 2 AIC -697.1776 BIC -614.4587 SSR 5.384947 [[1]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0024(0.0016) 1.3315(0.3101) 0.2954(0.2545) -0.4147(0.3184) Equation long.run 0.0026(0.0025) 1.7111(0.4778) 1.8637(0.3922) -1.7902(0.4906) long.run -2 Equation short.run -0.1710(0.2103) Equation long.run -0.7160(0.3240) [[2]] Trend short.run -1 long.run -1 Equation short.run -0.0004(0.0008) 0.8019(0.1393) 0.1645(0.0931) Equation long.run 0.0002(0.0013) 0.1888(0.2147) 1.1482(0.1434) short.run -2 long.run -2 Equation short.run 0.0808(0.1409) -0.0049(0.0803) Equation long.run -0.2319(0.2172) -0.0938(0.1237) [[3]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0126(0.0092) 0.4084(0.3388) 0.9072(0.3280) 0.6547(0.3857) Equation long.run -0.0186(0.0141) 0.3556(0.5221) 1.3479(0.5054) 1.1169(0.5944) long.run -2 Equation short.run -1.2713(0.2774) Equation long.run -1.4742(0.4274) Threshold value: 1.696 3.426 Percentage of Observations in each regime: 22.4% 66.3% 11.2% $mod_37 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 24 + 2 AIC -696.457 BIC -629.2478 SSR 5.597464 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 1.4111(0.3080) 0.2076(0.2497) -0.4023(0.3208) Equation long.run 1.7946(0.4703) 1.7716(0.3813) -1.7772(0.4899) long.run -2 Equation short.run -0.1728(0.2120) Equation long.run -0.7179(0.3237) [[2]] short.run -1 long.run -1 short.run -2 Equation short.run 0.8039(0.1404) 0.1533(0.0908) 0.0838(0.1419) Equation long.run 0.1876(0.2143) 1.1545(0.1387) -0.2336(0.2167) long.run -2 Equation short.run -0.0078(0.0807) Equation long.run -0.0922(0.1232) [[3]] short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.6325(0.2994) 0.7137(0.2986) 0.9565(0.3196) -1.3354(0.2756) Equation long.run 0.0254(0.4572) 1.6331(0.4559) 0.6721(0.4880) -1.3797(0.4209) Threshold value: 1.696 3.426 Percentage of Observations in each regime: 22.4% 66.3% 11.2% $mod_38 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 36 + 2 AIC -712.1302 BIC -613.9014 SSR 4.540782 [[1]] Intercept Trend short.run -1 Equation short.run -2.3266(1.1926) -0.0066(0.0057) 1.3525(0.4680) Equation long.run -7.9239(1.7912) -0.0322(0.0086) 2.1060(0.7030) long.run -1 short.run -2 long.run -2 Equation short.run 0.2719(0.2844) 0.7098(0.6692) -0.2559(0.2266) Equation long.run 1.7685(0.4272) 1.8410(1.0051) -1.1052(0.3404) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.4979(0.2108) 0.0017(0.0012) 0.6805(0.1399) 0.1944(0.0866) Equation long.run 0.1294(0.3166) 0.0004(0.0018) 0.2401(0.2101) 1.1597(0.1301) short.run -2 long.run -2 Equation short.run -0.0319(0.1360) 0.0038(0.0746) Equation long.run -0.3740(0.2043) -0.0530(0.1121) [[3]] Intercept Trend short.run -1 Equation short.run 0.4665(0.7753) 0.0115(0.0089) 0.3957(0.3234) Equation long.run -0.1806(1.1645) -0.0181(0.0134) 0.3605(0.4857) long.run -1 short.run -2 long.run -2 Equation short.run 0.8453(0.3288) 0.6164(0.3728) -1.2598(0.2648) Equation long.run 1.3719(0.4939) 1.1317(0.5599) -1.4786(0.3977) Threshold value: 1.545 3.426 Percentage of Observations in each regime: 18.4% 70.4% 11.2% $mod_39 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 28 + 1 AIC -673.8073 BIC -599.1407 SSR 6.189782 [[1]] Intercept short.run -1 long.run -1 Equation short.run -1.0869(0.5169) 1.5083(0.3991) -0.1400(0.3843) Equation long.run -1.8540(0.7365) 1.8924(0.5688) 1.1334(0.5476) short.run -2 long.run -2 short.run -3 Equation short.run 0.1607(0.5576) 0.3493(0.5088) -0.1365(0.5429) Equation long.run -0.5332(0.7946) -0.1026(0.7251) -0.4059(0.7737) long.run -3 Equation short.run -0.3817(0.2931) Equation long.run -0.4329(0.4176) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.2261(0.1548) 0.7381(0.1462) 0.2356(0.1011) -0.1265(0.1758) Equation long.run 0.1036(0.2206) 0.2520(0.2083) 1.1039(0.1440) -0.1527(0.2505) long.run -2 short.run -3 long.run -3 Equation short.run -0.1521(0.1276) 0.2599(0.1464) -0.0147(0.0868) Equation long.run -0.1559(0.1818) -0.0968(0.2086) 0.0054(0.1237) Threshold value: 1.665 Percentage of Observations in each regime: 19.6% 80.4% $mod_40 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 28 + 1 AIC -676.4372 BIC -601.7706 SSR 6.385416 [[1]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0010(0.0007) 0.8527(0.1381) 0.1062(0.0912) -0.1210(0.1723) Equation long.run 0.0016(0.0011) 0.4709(0.2241) 1.0052(0.1480) -0.3041(0.2794) long.run -2 short.run -3 long.run -3 Equation short.run -0.0557(0.1210) 0.2576(0.1414) -0.0427(0.0790) Equation long.run -0.0522(0.1963) -0.1333(0.2294) -0.0201(0.1282) [[2]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0123(0.0203) 0.4501(0.4603) 0.8989(0.4688) 0.6539(0.4053) Equation long.run -0.0290(0.0329) 0.5262(0.7466) 1.1586(0.7605) 1.1265(0.6575) long.run -2 short.run -3 long.run -3 Equation short.run -1.3315(0.3536) -0.0515(0.5949) 0.0890(0.3400) Equation long.run -1.5070(0.5736) 0.2994(0.9651) -0.0433(0.5515) Threshold value: 3.426 Percentage of Observations in each regime: 88.7% 11.3% $mod_41 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 24 + 1 AIC -677.9688 BIC -613.601 SSR 6.592583 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 0.8664(0.1383) 0.1073(0.0915) -0.1202(0.1728) Equation long.run 0.4917(0.2245) 1.0069(0.1486) -0.3030(0.2806) long.run -2 short.run -3 long.run -3 Equation short.run -0.0583(0.1214) 0.2578(0.1419) -0.0377(0.0792) Equation long.run -0.0563(0.1972) -0.1328(0.2304) -0.0124(0.1287) [[2]] short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.6412(0.3377) 0.6859(0.3131) 0.7328(0.3853) -1.3506(0.3534) Equation long.run 0.0773(0.5482) 1.6589(0.5083) 0.9412(0.6256) -1.4622(0.5738) short.run -3 long.run -3 Equation short.run 0.2489(0.3334) 0.0099(0.3152) Equation long.run -0.4060(0.5413) 0.1425(0.5118) Threshold value: 3.426 Percentage of Observations in each regime: 88.7% 11.3% $mod_42 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 32 + 1 AIC -681.0374 BIC -596.072 SSR 5.641643 [[1]] Intercept Trend short.run -1 Equation short.run -2.9151(1.7567) -0.0082(0.0084) 1.4271(0.5707) Equation long.run -10.0377(2.4336) -0.0407(0.0117) 2.3576(0.7907) long.run -1 short.run -2 long.run -2 short.run -3 Equation short.run 0.0902(0.4355) 0.7328(0.8035) 0.0553(0.5531) 0.2651(0.6240) Equation long.run 1.5844(0.6033) 1.9565(1.1132) -0.5019(0.7662) 0.7863(0.8645) long.run -3 Equation short.run -0.3448(0.3180) Equation long.run -0.7581(0.4406) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.5368(0.2342) 0.0022(0.0013) 0.6831(0.1462) 0.2410(0.0989) Equation long.run 0.3730(0.3245) 0.0018(0.0019) 0.2696(0.2026) 1.1082(0.1370) short.run -2 long.run -2 short.run -3 Equation short.run -0.1725(0.1718) -0.1198(0.1257) 0.1941(0.1479) Equation long.run -0.2626(0.2380) -0.1059(0.1741) -0.1756(0.2049) long.run -3 Equation short.run -0.0201(0.0853) Equation long.run 0.0108(0.1182) Threshold value: 1.473 Percentage of Observations in each regime: 17.5% 82.5% $mod_43 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 42 + 2 AIC -684.4138 BIC -571.1265 SSR 4.823477 [[1]] Intercept short.run -1 long.run -1 Equation short.run -1.0869(0.4417) 1.5083(0.3411) -0.1400(0.3284) Equation long.run -1.8540(0.7028) 1.8924(0.5427) 1.1334(0.5225) short.run -2 long.run -2 short.run -3 Equation short.run 0.1607(0.4765) 0.3493(0.4348) -0.1365(0.4640) Equation long.run -0.5332(0.7582) -0.1026(0.6919) -0.4059(0.7383) long.run -3 Equation short.run -0.3817(0.2504) Equation long.run -0.4329(0.3985) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.1933(0.1402) 0.6654(0.1432) 0.2725(0.0986) -0.1551(0.1723) Equation long.run 0.0641(0.2232) 0.1851(0.2279) 1.1425(0.1568) -0.2529(0.2741) long.run -2 short.run -3 long.run -3 Equation short.run -0.0691(0.1181) 0.2807(0.1431) -0.0150(0.0785) Equation long.run -0.0642(0.1879) 0.0008(0.2278) -0.0159(0.1249) [[3]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.3524(1.0791) 0.5889(0.3489) 0.6590(0.2989) 0.7156(0.3576) Equation long.run -0.3019(1.7171) 0.1221(0.5551) 1.6819(0.4756) 0.9559(0.5690) long.run -2 short.run -3 long.run -3 Equation short.run -1.2924(0.3701) 0.2595(0.3077) -0.0576(0.3555) Equation long.run -1.5121(0.5889) -0.4151(0.4897) 0.2003(0.5657) Threshold value: 1.665 3.426 Percentage of Observations in each regime: 19.6% 69.1% 11.3% $mod_44 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 42 + 2 AIC -681.0857 BIC -567.7985 SSR 5.044306 [[1]] Trend short.run -1 long.run -1 Equation short.run 0.0042(0.0021) 1.3268(0.3736) -0.0908(0.3337) Equation long.run 0.0053(0.0034) 1.7043(0.5959) 1.2381(0.5323) short.run -2 long.run -2 short.run -3 Equation short.run 0.0189(0.4780) 0.3755(0.4456) -0.4016(0.4500) Equation long.run -0.8289(0.7626) -0.1004(0.7109) -0.9116(0.7177) long.run -3 Equation short.run -0.2814(0.2458) Equation long.run -0.1934(0.3921) [[2]] Trend short.run -1 long.run -1 Equation short.run -0.0005(0.0008) 0.7066(0.1425) 0.2597(0.1016) Equation long.run 0.0001(0.0013) 0.2010(0.2272) 1.1283(0.1620) short.run -2 long.run -2 short.run -3 Equation short.run -0.1394(0.1754) -0.0815(0.1203) 0.3210(0.1429) Equation long.run -0.2458(0.2798) -0.0675(0.1919) 0.0148(0.2280) long.run -3 Equation short.run -0.0178(0.0802) Equation long.run -0.0194(0.1280) [[3]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0123(0.0190) 0.4501(0.4327) 0.8989(0.4408) 0.6539(0.3810) Equation long.run -0.0290(0.0304) 0.5262(0.6903) 1.1586(0.7031) 1.1265(0.6078) long.run -2 short.run -3 long.run -3 Equation short.run -1.3315(0.3324) -0.0515(0.5593) 0.0890(0.3196) Equation long.run -1.5070(0.5303) 0.2994(0.8922) -0.0433(0.5099) Threshold value: 1.665 3.426 Percentage of Observations in each regime: 19.6% 69.1% 11.3% $mod_45 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 36 + 2 AIC -683.1735 BIC -585.3345 SSR 5.290123 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 1.6024(0.3496) -0.0434(0.3363) -0.1030(0.4789) Equation long.run 2.0528(0.5530) 1.2980(0.5320) -0.9831(0.7576) long.run -2 short.run -3 long.run -3 Equation short.run 0.2792(0.4476) -0.5231(0.4503) -0.1262(0.2351) Equation long.run -0.2222(0.7080) -1.0652(0.7123) 0.0028(0.3719) [[2]] short.run -1 long.run -1 short.run -2 Equation short.run 0.7104(0.1438) 0.2427(0.0992) -0.1362(0.1772) Equation long.run 0.2000(0.2275) 1.1326(0.1569) -0.2466(0.2802) long.run -2 short.run -3 long.run -3 Equation short.run -0.0801(0.1215) 0.3220(0.1444) -0.0223(0.0808) Equation long.run -0.0679(0.1922) 0.0145(0.2284) -0.0183(0.1278) [[3]] short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.6412(0.3197) 0.6859(0.2964) 0.7328(0.3648) -1.3506(0.3346) Equation long.run 0.0773(0.5057) 1.6589(0.4688) 0.9412(0.5771) -1.4622(0.5292) short.run -3 long.run -3 Equation short.run 0.2489(0.3157) 0.0099(0.2985) Equation long.run -0.4060(0.4993) 0.1425(0.4721) Threshold value: 1.665 3.426 Percentage of Observations in each regime: 19.6% 69.1% 11.3% $mod_46 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 48 + 2 AIC -693.1061 BIC -564.3705 SSR 4.26313 [[1]] Intercept Trend short.run -1 Equation short.run -2.9151(1.5151) -0.0082(0.0073) 1.4271(0.4923) Equation long.run -10.0377(2.2930) -0.0407(0.0110) 2.3576(0.7450) long.run -1 short.run -2 long.run -2 short.run -3 Equation short.run 0.0902(0.3756) 0.7328(0.6930) 0.0553(0.4770) 0.2651(0.5382) Equation long.run 1.5844(0.5685) 1.9565(1.0489) -0.5019(0.7219) 0.7863(0.8145) long.run -3 Equation short.run -0.3448(0.2743) Equation long.run -0.7581(0.4151) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.3270(0.2325) 0.0009(0.0013) 0.6435(0.1428) 0.2660(0.0979) Equation long.run 0.1689(0.3518) 0.0006(0.0019) 0.2497(0.2162) 1.1405(0.1481) short.run -2 long.run -2 short.run -3 Equation short.run -0.1672(0.1686) -0.0561(0.1177) 0.2521(0.1471) Equation long.run -0.3561(0.2551) -0.0258(0.1781) -0.0437(0.2227) long.run -3 Equation short.run -0.0184(0.0780) Equation long.run -0.0091(0.1180) [[3]] Intercept Trend short.run -1 Equation short.run 0.6820(1.1435) 0.0164(0.0198) 0.2855(0.5037) Equation long.run -1.0039(1.7306) -0.0350(0.0299) 0.7685(0.7622) long.run -1 short.run -2 long.run -2 Equation short.run 0.9175(0.4303) 0.5944(0.3841) -1.2125(0.3802) Equation long.run 1.1312(0.6512) 1.2140(0.5814) -1.6822(0.5754) short.run -3 long.run -3 Equation short.run -0.1307(0.5605) -0.0153(0.3570) Equation long.run 0.4160(0.8483) 0.1102(0.5402) Threshold value: 1.473 3.426 Percentage of Observations in each regime: 17.5% 71.1% 11.3% $mod_47 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 18 + 1 AIC -685.0735 BIC -635.9591 SSR 6.744769 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.0464(0.1325) 0.9325(0.1360) 0.0345(0.0809) Equation long.run -0.2138(0.2101) 0.5002(0.2156) 1.0295(0.1283) short.run -2 long.run -2 short.run -1 Equation short.run 0.0502(0.1384) -0.0186(0.0783) 0.6293(0.3148) Equation long.run -0.3449(0.2193) -0.1223(0.1242) 0.0401(0.4989) long.run -1 short.run -2 long.run -2 Equation short.run 0.7092(0.3140) 0.9501(0.3364) -1.3337(0.2897) Equation long.run 1.6538(0.4978) 0.7016(0.5332) -1.3875(0.4592) Threshold value: 3.426 Percentage of Observations in each regime: 88.8% 11.2% $mod_48 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 98 Number of variables: 2 Number of estimated parameters: 26 + 2 AIC -695.212 BIC -622.8329 SSR 5.591839 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.1355(0.1308) 1.4116(0.3230) 0.1874(0.2649) Equation long.run -0.1291(0.1997) 1.8186(0.4934) 1.7121(0.4045) short.run -2 long.run -2 short.run -1 Equation short.run -0.4543(0.3456) -0.1547(0.2306) 0.7789(0.1444) Equation long.run -1.7218(0.5279) -0.7229(0.3522) 0.2351(0.2205) long.run -1 short.run -2 long.run -2 Equation short.run 0.1633(0.0928) 0.0460(0.1453) 0.0041(0.0803) Equation long.run 1.1104(0.1418) -0.1998(0.2220) -0.0928(0.1227) short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 0.6231(0.3011) 0.7006(0.3004) 0.9378(0.3218) -1.3305(0.2771) Equation long.run 0.0343(0.4599) 1.6456(0.4588) 0.6899(0.4915) -1.3844(0.4232) Threshold value: 1.665 3.426 Percentage of Observations in each regime: 20.4% 68.4% 11.2% $mod_49 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 26 + 1 AIC -675.4405 BIC -605.9233 SSR 6.535955 [[1]] Intercept short.run -1 long.run -1 Equation short.run -0.0297(0.1392) 0.8712(0.1409) 0.1053(0.0926) Equation long.run -0.2236(0.2248) 0.5277(0.2274) 0.9915(0.1494) short.run -2 long.run -2 short.run -3 Equation short.run -0.1176(0.1743) -0.0599(0.1224) 0.2645(0.1461) Equation long.run -0.2833(0.2813) -0.0685(0.1976) -0.0827(0.2359) long.run -3 short.run -1 long.run -1 short.run -2 Equation short.run -0.0390(0.0799) 0.6456(0.3402) 0.6882(0.3150) 0.7342(0.3876) Equation long.run -0.0219(0.1290) 0.1105(0.5493) 1.6760(0.5086) 0.9521(0.6258) long.run -2 short.run -3 long.run -3 Equation short.run -1.3555(0.3561) 0.2480(0.3353) 0.0156(0.3181) Equation long.run -1.4991(0.5750) -0.4127(0.5414) 0.1853(0.5137) Threshold value: 3.426 Percentage of Observations in each regime: 88.7% 11.3% $mod_50 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 38 + 2 AIC -681.0325 BIC -578.044 SSR 5.270178 [[1]] Intercept short.run -1 long.run -1 Equation short.run 0.0802(0.1374) 1.6093(0.3513) -0.0363(0.3380) Equation long.run -0.1144(0.2174) 2.0429(0.5559) 1.2879(0.5348) short.run -2 long.run -2 short.run -3 Equation short.run -0.1225(0.4821) 0.2741(0.4495) -0.5516(0.4548) Equation long.run -0.9553(0.7629) -0.2148(0.7114) -1.0245(0.7198) long.run -3 short.run -1 long.run -1 Equation short.run -0.1074(0.2383) 0.6917(0.1479) 0.2550(0.1018) Equation long.run -0.0241(0.3771) 0.2266(0.2341) 1.1150(0.1612) short.run -2 long.run -2 short.run -3 Equation short.run -0.1441(0.1784) -0.0756(0.1223) 0.3049(0.1479) Equation long.run -0.2354(0.2823) -0.0744(0.1935) 0.0390(0.2341) long.run -3 short.run -1 long.run -1 short.run -2 Equation short.run -0.0192(0.0813) 0.6293(0.3217) 0.6798(0.2978) 0.7288(0.3664) Equation long.run -0.0226(0.1286) 0.0943(0.5091) 1.6676(0.4713) 0.9468(0.5799) long.run -2 short.run -3 long.run -3 Equation short.run -1.3374(0.3368) 0.2513(0.3170) -0.0055(0.3009) Equation long.run -1.4811(0.5329) -0.4094(0.5017) 0.1644(0.4761) Threshold value: 1.665 3.426 Percentage of Observations in each regime: 19.6% 69.1% 11.3% $mod_51 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 28 + 1 AIC -688.238 BIC -613.5714 SSR 5.493258 [[1]] Intercept short.run -1 long.run -1 Equation short.run -2.8620(0.9611) 0.9880(0.6896) -0.3073(0.6090) Equation long.run -5.5810(1.2626) 0.8618(0.9059) 1.2400(0.8000) short.run -2 long.run -2 short.run -3 Equation short.run 0.3097(0.8402) 0.6418(0.8401) 0.8824(0.8209) Equation long.run 1.0685(1.1038) -0.4073(1.1037) 0.5082(1.0784) long.run -3 Equation short.run -0.3264(0.3371) Equation long.run -0.1518(0.4429) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.1456(0.1415) 0.8070(0.1369) 0.1826(0.0915) -0.1203(0.1682) Equation long.run 0.1263(0.1859) 0.3292(0.1798) 1.1008(0.1202) -0.2224(0.2210) long.run -2 short.run -3 long.run -3 Equation short.run -0.1527(0.1229) 0.2567(0.1410) -0.0135(0.0847) Equation long.run -0.1322(0.1615) -0.1448(0.1852) 0.0205(0.1113) Threshold value: 1.303 Percentage of Observations in each regime: 13.4% 86.6% $mod_52 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 28 + 1 AIC -688.0498 BIC -613.3832 SSR 5.49747 [[1]] Trend short.run -1 long.run -1 Equation short.run 0.0194(0.0063) 0.2718(0.7935) -0.1703(0.6025) Equation long.run 0.0370(0.0083) -0.4758(1.0411) 1.5158(0.7904) short.run -2 long.run -2 short.run -3 Equation short.run -0.0901(0.8354) 0.2776(0.8225) 0.4457(0.7328) Equation long.run 0.2929(1.0960) -1.1257(1.0791) -0.3896(0.9615) long.run -3 Equation short.run 0.0213(0.3335) Equation long.run 0.5203(0.4375) [[2]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0004(0.0008) 0.8353(0.1339) 0.1606(0.0901) -0.1004(0.1674) Equation long.run 2e-05(0.0010) 0.3553(0.1757) 1.0845(0.1182) -0.2059(0.2197) long.run -2 short.run -3 long.run -3 Equation short.run -0.1590(0.1229) 0.2814(0.1389) -0.0232(0.0848) Equation long.run -0.1387(0.1612) -0.1222(0.1822) 0.0145(0.1112) Threshold value: 1.303 Percentage of Observations in each regime: 13.4% 86.6% $mod_53 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 24 + 1 AIC -674.5396 BIC -610.1718 SSR 6.572337 [[1]] short.run -1 long.run -1 short.run -2 long.run -2 Equation short.run 1.6634(0.6809) 0.0339(0.6254) 0.0031(0.8719) 0.0862(0.8565) Equation long.run 2.1789(0.9418) 1.9053(0.8649) 0.4706(1.2059) -1.4908(1.1846) short.run -3 long.run -3 Equation short.run -0.6475(0.6694) -0.1199(0.3450) Equation long.run -2.4752(0.9258) 0.2509(0.4771) [[2]] short.run -1 long.run -1 short.run -2 Equation short.run 0.8372(0.1398) 0.1640(0.0938) -0.1014(0.1748) Equation long.run 0.3554(0.1934) 1.0847(0.1297) -0.2059(0.2418) long.run -2 short.run -3 long.run -3 Equation short.run -0.1604(0.1283) 0.2828(0.1450) -0.0202(0.0883) Equation long.run -0.1388(0.1774) -0.1222(0.2006) 0.0147(0.1222) Threshold value: 1.303 Percentage of Observations in each regime: 13.4% 86.6% $mod_54 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 32 + 1 AIC -687.1579 BIC -602.1924 SSR 5.303586 [[1]] Intercept Trend short.run -1 Equation short.run 0.4305(4.1562) 0.0222(0.0273) 0.1764(1.2049) Equation long.run -1.5384(5.5960) 0.0272(0.0367) -0.1346(1.6222) long.run -1 short.run -2 long.run -2 Equation short.run -0.1479(0.6276) -0.1494(0.9977) 0.2211(0.9717) Equation long.run 1.4357(0.8451) 0.5048(1.3433) -0.9238(1.3084) short.run -3 long.run -3 Equation short.run 0.3704(1.0209) 0.0724(0.5911) Equation long.run -0.1205(1.3746) 0.3379(0.7959) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.5534(0.2303) 0.0027(0.0012) 0.7087(0.1412) 0.2097(0.0904) Equation long.run 0.3572(0.3100) 0.0015(0.0017) 0.2736(0.1901) 1.1162(0.1218) short.run -2 long.run -2 short.run -3 Equation short.run -0.1659(0.1660) -0.1210(0.1212) 0.1731(0.1431) Equation long.run -0.2482(0.2235) -0.1142(0.1632) -0.1921(0.1927) long.run -3 Equation short.run -0.0168(0.0830) Equation long.run 0.0186(0.1117) Threshold value: 1.303 Percentage of Observations in each regime: 13.4% 86.6% $mod_55 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 42 + 2 AIC -717.9374 BIC -604.6502 SSR 3.873473 [[1]] Intercept short.run -1 long.run -1 Equation short.run -2.8620(0.8757) 0.9880(0.6283) -0.3073(0.5548) Equation long.run -5.5810(1.0827) 0.8618(0.7768) 1.2400(0.6860) short.run -2 long.run -2 short.run -3 Equation short.run 0.3097(0.7655) 0.6418(0.7655) 0.8824(0.7479) Equation long.run 1.0685(0.9465) -0.4073(0.9464) 0.5082(0.9247) long.run -3 Equation short.run -0.3264(0.3072) Equation long.run -0.1518(0.3798) [[2]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.1761(0.1653) 0.7813(0.1630) 0.1519(0.0961) -0.1251(0.1980) Equation long.run 0.3660(0.2044) 0.2470(0.2016) 1.1653(0.1188) -0.3607(0.2448) long.run -2 short.run -3 long.run -3 Equation short.run -0.0752(0.1367) 0.2540(0.1569) -0.0328(0.0890) Equation long.run -0.2122(0.1690) -0.0487(0.1940) 0.0826(0.1100) [[3]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 2.1772(0.7070) 0.5498(0.2817) 0.3578(0.2032) 0.3469(0.2933) Equation long.run 2.4046(0.8742) -0.1708(0.3483) 1.1320(0.2513) 0.9197(0.3627) long.run -2 short.run -3 long.run -3 Equation short.run -1.0606(0.2915) 0.1105(0.2617) 0.0989(0.2426) Equation long.run -0.5654(0.3604) -0.5362(0.3235) -0.4699(0.3000) Threshold value: 1.303 3.271 Percentage of Observations in each regime: 13.4% 68% 18.6% $mod_56 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 42 + 2 AIC -709.9952 BIC -596.7079 SSR 3.96441 [[1]] Trend short.run -1 long.run -1 Equation short.run 0.0194(0.0057) 0.2718(0.7162) -0.1703(0.5438) Equation long.run 0.0370(0.0073) -0.4758(0.9146) 1.5158(0.6944) short.run -2 long.run -2 short.run -3 Equation short.run -0.0901(0.7541) 0.2776(0.7424) 0.4457(0.6615) Equation long.run 0.2929(0.9629) -1.1257(0.9480) -0.3896(0.8447) long.run -3 Equation short.run 0.0213(0.3010) Equation long.run 0.5203(0.3844) [[2]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0004(0.0007) 0.7980(0.1447) 0.1549(0.0855) -0.1307(0.1752) Equation long.run 0.0002(0.0009) 0.3337(0.1848) 1.0721(0.1091) -0.4728(0.2237) long.run -2 short.run -3 long.run -3 Equation short.run -0.0656(0.1172) 0.2933(0.1427) -0.0362(0.0798) Equation long.run -0.0010(0.1496) 0.1069(0.1823) -0.0328(0.1020) [[3]] Trend short.run -1 long.run -1 short.run -2 Equation short.run 0.0820(0.0254) -0.2763(0.4953) 0.4745(0.4431) 0.6618(0.3659) Equation long.run 0.0535(0.0324) -0.6959(0.6325) 0.9634(0.5658) 1.7091(0.4673) long.run -2 short.run -3 long.run -3 Equation short.run -0.2206(0.5007) -0.0845(0.4830) -1.2923(0.5895) Equation long.run -0.0404(0.6393) -0.2842(0.6167) -1.8258(0.7527) Threshold value: 1.303 3.403 Percentage of Observations in each regime: 13.4% 75.3% 11.3% $mod_57 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 36 + 2 AIC -685.4696 BIC -587.6306 SSR 5.233204 [[1]] short.run -1 long.run -1 short.run -2 Equation short.run 1.7390(0.5739) -0.0500(0.5151) -0.1005(0.7262) Equation long.run 1.9084(0.7907) 2.0357(0.7097) 0.2309(1.0005) long.run -2 short.run -3 long.run -3 Equation short.run 0.1932(0.7198) -0.6271(0.5675) -0.1215(0.3189) Equation long.run -1.5013(0.9917) -1.9976(0.7819) 0.1980(0.4394) [[2]] short.run -1 long.run -1 short.run -2 Equation short.run 0.7489(0.1582) 0.2008(0.0942) -0.1279(0.1886) Equation long.run 0.3180(0.2180) 1.0906(0.1297) -0.4798(0.2598) long.run -2 short.run -3 long.run -3 Equation short.run -0.0471(0.1257) 0.2909(0.1519) -0.0320(0.0853) Equation long.run 0.0131(0.1732) 0.1051(0.2093) -0.0299(0.1176) [[3]] short.run -1 long.run -1 short.run -2 Equation short.run 0.6959(0.3668) -0.1641(0.4097) 0.6186(0.3942) Equation long.run -0.0586(0.5053) 0.5454(0.5644) 1.6814(0.5431) long.run -2 short.run -3 long.run -3 Equation short.run -0.2876(0.5416) 0.8840(0.4696) -0.7737(0.5961) Equation long.run -0.0860(0.7461) 0.3459(0.6470) -1.4852(0.8212) Threshold value: 1.462 3.426 Percentage of Observations in each regime: 15.5% 74.2% 10.3% $mod_58 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 48 + 2 AIC -725.8855 BIC -597.1499 SSR 3.585553 [[1]] Intercept Trend short.run -1 Equation short.run 0.4305(3.7612) 0.0222(0.0247) 0.1764(1.0904) Equation long.run -1.5384(4.7225) 0.0272(0.0310) -0.1346(1.3690) long.run -1 short.run -2 long.run -2 Equation short.run -0.1479(0.5680) -0.1494(0.9029) 0.2211(0.8794) Equation long.run 1.4357(0.7132) 0.5048(1.1337) -0.9238(1.1041) short.run -3 long.run -3 Equation short.run 0.3704(0.9239) 0.0724(0.5349) Equation long.run -0.1205(1.1601) 0.3379(0.6716) [[2]] Intercept Trend short.run -1 long.run -1 Equation short.run 0.6316(0.2705) 0.0026(0.0012) 0.6670(0.1677) 0.1818(0.0945) Equation long.run 0.7787(0.3396) 0.0023(0.0015) 0.1434(0.2106) 1.1924(0.1187) short.run -2 long.run -2 short.run -3 Equation short.run -0.1420(0.1928) -0.0699(0.1329) 0.1481(0.1607) Equation long.run -0.3761(0.2420) -0.2074(0.1669) -0.1446(0.2018) long.run -3 Equation short.run -0.0198(0.0868) Equation long.run 0.0943(0.1089) [[3]] Intercept Trend short.run -1 long.run -1 Equation short.run 2.3469(0.6972) 0.0179(0.0121) 0.2217(0.3534) 0.6449(0.2779) Equation long.run 2.2069(0.8754) -0.0208(0.0153) 0.2114(0.4437) 0.7976(0.3489) short.run -2 long.run -2 short.run -3 Equation short.run 0.1809(0.3068) -0.9603(0.2916) -0.2377(0.3477) Equation long.run 1.1130(0.3852) -0.6824(0.3661) -0.1306(0.4365) long.run -3 Equation short.run 0.1306(0.2369) Equation long.run -0.5068(0.2975) Threshold value: 1.303 3.271 Percentage of Observations in each regime: 13.4% 68% 18.6% $mod_59 Model TVAR with 1 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 26 + 1 AIC -671.1496 BIC -601.6324 SSR 6.564007 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.0818(0.1470) 1.6827(0.6846) 0.0437(0.6282) -0.0057(0.8756) Equation long.run 0.0053(0.2036) 2.1802(0.9486) 1.9060(0.8704) 0.4700(1.2132) long.run -2 short.run -3 long.run -3 Equation short.run 0.0703(0.8605) -0.6912(0.6767) -0.1140(0.3465) Equation long.run -1.4918(1.1923) -2.4780(0.9376) 0.2513(0.4802) short.run -1 long.run -1 short.run -2 Equation short.run 0.8202(0.1437) 0.1744(0.0960) -0.1120(0.1766) Equation long.run 0.3543(0.1990) 1.0854(0.1331) -0.2066(0.2447) long.run -2 short.run -3 long.run -3 Equation short.run -0.1561(0.1290) 0.2682(0.1480) -0.0164(0.0889) Equation long.run -0.1385(0.1788) -0.1231(0.2050) 0.0149(0.1232) Threshold value: 1.303 Percentage of Observations in each regime: 13.4% 86.6% $mod_60 Model TVAR with 2 thresholds Full sample size: 100 End sample size: 97 Number of variables: 2 Number of estimated parameters: 38 + 2 AIC -679.6095 BIC -576.6211 SSR 5.28558 [[1]] Intercept short.run -1 long.run -1 short.run -2 Equation short.run 0.0054(0.1455) 1.6647(0.6562) 0.0346(0.6021) 0.0025(0.8393) Equation long.run -0.0842(0.1928) 2.1591(0.8696) 1.8953(0.7979) 0.4796(1.1121) long.run -2 short.run -3 long.run -3 Equation short.run 0.0851(0.8248) -0.6504(0.6489) -0.1195(0.3322) Equation long.run -1.4744(1.0930) -2.4302(0.8599) 0.2448(0.4402) short.run -1 long.run -1 short.run -2 Equation short.run 0.8266(0.1612) 0.1518(0.0959) -0.1336(0.1964) Equation long.run 0.3660(0.2136) 1.0600(0.1271) -0.4602(0.2602) long.run -2 short.run -3 long.run -3 Equation short.run -0.0586(0.1303) 0.2594(0.1587) -0.0219(0.0885) Equation long.run 0.0011(0.1727) 0.0979(0.2102) -0.0261(0.1173) short.run -1 long.run -1 short.run -2 Equation short.run 0.6947(0.3820) -0.1626(0.4269) 0.6183(0.4090) Equation long.run -0.0385(0.5062) 0.5212(0.5657) 1.6865(0.5419) long.run -2 short.run -3 long.run -3 Equation short.run -0.2890(0.5630) 0.8829(0.4879) -0.7726(0.6190) Equation long.run -0.0634(0.7461) 0.3626(0.6465) -1.5029(0.8202) Threshold value: 1.303 3.426 Percentage of Observations in each regime: 13.4% 76.3% 10.3% > sapply(TVAR_outs, AIC) mod_1 mod_2 mod_3 mod_4 mod_5 mod_6 mod_7 mod_8 -693.4198 -694.4421 -695.9140 -704.0109 -686.9451 -729.4219 -692.6493 -730.8556 mod_9 mod_10 mod_11 mod_12 mod_13 mod_14 mod_15 mod_16 -682.5048 -681.4627 -685.7517 -687.1383 -690.9993 -729.6564 -709.0451 -730.2492 mod_17 mod_18 mod_19 mod_20 mod_21 mod_22 mod_23 mod_24 -695.5749 -667.9351 -684.7229 -686.5858 -661.5168 -689.8580 -666.9848 -686.5036 mod_25 mod_26 mod_27 mod_28 mod_29 mod_30 mod_31 mod_32 -681.0605 -677.2671 -682.2468 -694.4521 -665.1815 -682.9120 -680.3642 -689.6446 mod_33 mod_34 mod_35 mod_36 mod_37 mod_38 mod_39 mod_40 -686.4210 -692.5548 -697.4415 -697.1776 -696.4570 -712.1302 -673.8073 -676.4372 mod_41 mod_42 mod_43 mod_44 mod_45 mod_46 mod_47 mod_48 -677.9688 -681.0374 -684.4138 -681.0857 -683.1735 -693.1061 -685.0735 -695.2120 mod_49 mod_50 mod_51 mod_52 mod_53 mod_54 mod_55 mod_56 -675.4405 -681.0325 -688.2380 -688.0498 -674.5396 -687.1579 -717.9374 -709.9952 mod_57 mod_58 mod_59 mod_60 -685.4696 -725.8855 -671.1496 -679.6095 > sapply(TVAR_outs, BIC) mod_1 mod_2 mod_3 mod_4 mod_5 mod_6 mod_7 mod_8 -639.1355 -640.1577 -651.9696 -639.3867 -604.2262 -646.7030 -625.4402 -632.6269 mod_9 mod_10 mod_11 mod_12 mod_13 mod_14 mod_15 mod_16 -607.8381 -606.7961 -621.3839 -602.1729 -577.7120 -616.3691 -611.2060 -601.5137 mod_17 mod_18 mod_19 mod_20 mod_21 mod_22 mod_23 mod_24 -646.4605 -595.5560 -615.2057 -583.5974 -586.8502 -615.1914 -602.6171 -601.5382 mod_25 mod_26 mod_27 mod_28 mod_29 mod_30 mod_31 mod_32 -567.7733 -563.9798 -584.4078 -565.7165 -595.6643 -579.9236 -626.0798 -635.3603 mod_33 mod_34 mod_35 mod_36 mod_37 mod_38 mod_39 mod_40 -642.4766 -627.9306 -614.7225 -614.4587 -629.2478 -613.9014 -599.1407 -601.7706 mod_41 mod_42 mod_43 mod_44 mod_45 mod_46 mod_47 mod_48 -613.6010 -596.0720 -571.1265 -567.7985 -585.3345 -564.3705 -635.9591 -622.8329 mod_49 mod_50 mod_51 mod_52 mod_53 mod_54 mod_55 mod_56 -605.9233 -578.0440 -613.5714 -613.3832 -610.1718 -602.1924 -604.6502 -596.7079 mod_57 mod_58 mod_59 mod_60 -587.6306 -597.1499 -601.6324 -576.6211 > sapply(TVAR_outs, logLik) mod_1 mod_2 mod_3 mod_4 mod_5 mod_6 mod_7 mod_8 89.59795 90.10907 86.84506 98.89351 97.36061 118.59902 94.21271 125.31586 mod_9 mod_10 mod_11 mod_12 mod_13 mod_14 mod_15 mod_16 94.97830 94.45726 92.60175 101.29509 114.22555 133.55412 117.24845 139.85053 mod_17 mod_18 mod_19 mod_20 mod_21 mod_22 mod_23 mod_24 88.67549 83.85561 94.08735 108.01883 84.48433 98.65493 83.21834 100.97774 mod_25 mod_26 mod_27 mod_28 mod_29 mod_30 mod_31 mod_32 109.25619 107.35946 103.84932 121.95195 84.31669 106.18194 83.07012 87.71035 mod_33 mod_34 mod_35 mod_36 mod_37 mod_38 mod_39 mod_40 82.09856 93.16543 102.60878 102.47685 96.11654 115.95314 90.62956 91.94454 mod_41 mod_42 mod_43 mod_44 mod_45 mod_46 mod_47 mod_48 88.71031 98.24464 110.93281 109.26879 104.31268 121.27897 83.42481 97.49402 mod_49 mod_50 mod_51 mod_52 mod_53 mod_54 mod_55 mod_56 89.44618 105.24216 97.84495 97.75085 86.99570 101.30487 127.69465 123.72351 mod_57 mod_58 mod_59 mod_60 105.46071 137.66866 87.30072 104.53068 > sapply(TVAR_outs, deviance) mod_1 mod_2 mod_3 mod_4 mod_5 mod_6 mod_7 mod_8 6.033018 6.079709 6.301583 5.442117 5.359576 4.589685 5.794965 4.250102 mod_9 mod_10 mod_11 mod_12 mod_13 mod_14 mod_15 mod_16 5.744725 5.793950 5.953759 5.269641 4.537429 3.701224 4.907752 3.405836 mod_17 mod_18 mod_19 mod_20 mod_21 mod_22 mod_23 mod_24 6.123373 6.677320 5.822445 4.848356 6.865831 6.227308 6.899967 6.077501 mod_25 mod_26 mod_27 mod_28 mod_29 mod_30 mod_31 mod_32 5.028484 4.974008 5.251379 4.370522 6.876853 5.168062 6.555661 6.559540 mod_33 mod_34 mod_35 mod_36 mod_37 mod_38 mod_39 mod_40 6.803553 5.926657 5.180755 5.384947 5.597464 4.540782 6.189782 6.385416 mod_41 mod_42 mod_43 mod_44 mod_45 mod_46 mod_47 mod_48 6.592583 5.641643 4.823477 5.044306 5.290123 4.263130 6.744769 5.591839 mod_49 mod_50 mod_51 mod_52 mod_53 mod_54 mod_55 mod_56 6.535955 5.270178 5.493258 5.497470 6.572337 5.303586 3.873473 3.964410 mod_57 mod_58 mod_59 mod_60 5.233204 3.585553 6.564007 5.285580 > sapply(TVAR_outs, df.residual) mod_1 mod_2 mod_3 mod_4 mod_5 mod_6 mod_7 mod_8 mod_9 mod_10 mod_11 88 88 90 86 83 83 86 80 83 83 85 mod_12 mod_13 mod_14 mod_15 mod_16 mod_17 mod_18 mod_19 mod_20 mod_21 mod_22 81 76 76 79 73 89 85 84 78 83 83 mod_23 mod_24 mod_25 mod_26 mod_27 mod_28 mod_29 mod_30 mod_31 mod_32 mod_33 85 81 76 76 79 73 84 78 88 88 90 mod_34 mod_35 mod_36 mod_37 mod_38 mod_39 mod_40 mod_41 mod_42 mod_43 mod_44 86 83 83 86 80 83 83 85 81 76 76 mod_45 mod_46 mod_47 mod_48 mod_49 mod_50 mod_51 mod_52 mod_53 mod_54 mod_55 79 73 89 85 84 78 83 83 85 81 76 mod_56 mod_57 mod_58 mod_59 mod_60 76 79 73 84 78 > > > ## Boot > gr_args_ok_df <- gr_args_ok > gr_args_ok_df$models <- TVAR_outs > > gr_args_boot <- subset(gr_args_ok_df, !commonInter) > > # sapply(gr_args_boot$models, function(x) head(TVAR.boot(x, seed=123))) > > boots_runs <- lapply(gr_args_boot$models, function(x) TVAR.boot(x, boot.scheme="check", round_digits=5)) > boots_checks <- sapply(boots_runs, function(x) all.equal(as.matrix(zeroyld[1:100,]), x, check.attributes = FALSE)) > > gr_args_boot$boots_checks <- boots_checks > gr_args_boot[,-7] include nthresh lag commonInter thDelay mTh boots_checks 9 const 1 2 FALSE 1 1 TRUE 10 trend 1 2 FALSE 1 1 TRUE 11 none 1 2 FALSE 1 1 TRUE 12 both 1 2 FALSE 1 1 TRUE 13 const 2 2 FALSE 1 1 TRUE 14 trend 2 2 FALSE 1 1 TRUE 15 none 2 2 FALSE 1 1 TRUE 16 both 2 2 FALSE 1 1 TRUE 17 const 1 3 FALSE 1 1 TRUE 18 trend 1 3 FALSE 1 1 TRUE 19 none 1 3 FALSE 1 1 TRUE 20 both 1 3 FALSE 1 1 TRUE 21 const 2 3 FALSE 1 1 TRUE 22 trend 2 3 FALSE 1 1 TRUE 23 none 2 3 FALSE 1 1 TRUE 24 both 2 3 FALSE 1 1 TRUE 65 const 1 3 FALSE 2 1 TRUE 66 trend 1 3 FALSE 2 1 TRUE 67 none 1 3 FALSE 2 1 TRUE 68 both 1 3 FALSE 2 1 TRUE 69 const 2 3 FALSE 2 1 TRUE 70 trend 2 3 FALSE 2 1 TRUE 71 none 2 3 FALSE 2 1 TRUE 72 both 2 3 FALSE 2 1 TRUE 105 const 1 2 FALSE 1 2 TRUE 106 trend 1 2 FALSE 1 2 TRUE 107 none 1 2 FALSE 1 2 TRUE 108 both 1 2 FALSE 1 2 TRUE 109 const 2 2 FALSE 1 2 TRUE 110 trend 2 2 FALSE 1 2 TRUE 111 none 2 2 FALSE 1 2 TRUE 112 both 2 2 FALSE 1 2 TRUE 113 const 1 3 FALSE 1 2 TRUE 114 trend 1 3 FALSE 1 2 TRUE 115 none 1 3 FALSE 1 2 TRUE 116 both 1 3 FALSE 1 2 TRUE 117 const 2 3 FALSE 1 2 TRUE 118 trend 2 3 FALSE 1 2 TRUE 119 none 2 3 FALSE 1 2 TRUE 120 both 2 3 FALSE 1 2 TRUE 161 const 1 3 FALSE 2 2 TRUE 162 trend 1 3 FALSE 2 2 TRUE 163 none 1 3 FALSE 2 2 TRUE 164 both 1 3 FALSE 2 2 TRUE 165 const 2 3 FALSE 2 2 TRUE 166 trend 2 3 FALSE 2 2 TRUE 167 none 2 3 FALSE 2 2 TRUE 168 both 2 3 FALSE 2 2 TRUE > > > ## predict > predict_runs <- lapply(gr_args_boot$models, function(x) predict(x, n.ahead=3)) > > proc.time() user system elapsed 5.60 0.78 6.42