I've been trying to run a threshold vector autoregression (TVAR) model. I need to allow each regime to have a different number of lags. I have tried in matlab using Gabriel Bruneau's toolbox, the tsDyn package in R, and the thsvar add-in in E-views. Neither of which has the option to specify a different number of lags for each regime. I also tried editing the TVAR function in R with no success. Does someone have experience with this kind of models? Thanks!
Threshold vector autoregression, different amount of lags for each regime
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