El valor del umbral o limite [tau] toma valor 0 para el caso de los Modelos TAR y MTAR, pero para sus respectivos modelos consistentes se debio calcular el valor de umbral usando el metodo de Chan .
El analisis de cointegracion no lineal por umbrales, se realizo con los modelos TAR, MTAR y sus respectivos consistentes como muestra la TABLA II.
In the TAR results in Table 4 and MTAR results in Table 5, the value of [tau] is determined endogenously using Chan's (1993) method, as described in Enders and Siklos (2001).
Finally, Table 5 provides the results from the MTAR model, which is similar to the method employed by Payne (2006a).
Whereas the TEC specification for the MTAR model is given as:
To recall the testing procedure, we firstly test the null hypothesis no convergence effects using the t-Max (*) and the t-Max (*) (M) statistics for the TAR and MTAR models, respectively.
We performed the same analysis using the MTAR specification to see whether there is a difference, i.
Next, the EC model with MTAR specification, which is given in equation (6), is estimated for cash, vehicle and housing loan rates.
Cointegration and Asymmetric Tests with Possibility of TAR or MTAR
Adjustment in the
6m (USD1m/EUR774,000) term loan as MTAR
has prepaid the facility.
Next, given the residual series, the following TAR and MTAR
specifications are estimated.
Updated the handling of the 1x scopes for Type95B1, A91, SteyrAug, SAR21, QBZ951, FAMAS, UTAS, MTAR
, L85A2, and F2000