Threshold estimation with regularized Bayesian estimator


I want to estimate the threshold VECM. However, to estimate the optimal threshold, I want to apply the regularized Bayesian estimator (Greb et al., 2014) as an alternative to the classical maximum likelihood (Hansen and Seo, 2002)and the least-squares (Chan, 1993) estimator.

Is there a code to the threshold with this estimator in GAUSS?




1 Answer



The regularized Bayesian estimator of the optimal threshold is not currently available in any pre-built GAUSS packages. There is a threshold model available in TSMT which uses least-squares estimation.

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