Dear Mr. Matthieu Stigler
i so excited for your package 'tsDyn'.
firstly introduce myself, i student at Gadjah Mada University,Indonesia.
i'am new user of R and applying it for solving Bi-Variate ( interest rate
and inflation ) with threshold vector error correction model.
now, i writing my final examination about threshold vector error correction
model and i use refference from paper "testing for two regime threshold
cointegration in vector error correction model"
by hansen and seo (2002) to estimate parameter.
i have tried to reduce MLE , and it's succes. now i have A1(hat), A2(hat)
with MLE and gamma(hat), beta(hat) with grid search from MLE.
My problem, when i using function HanSeo_TVECM() in R, this function can't
running, only to estimate linier cointegration (VECM). and if i using
packade tsDyn version 0-8.1, function HanSeo_TVECM() not avaliable.
however there are function TVECM() but this function using CLS for estimate
parameter.
whether the MLE and CLS estimation would result in same relative valuesââ?
can u help me sir? for function HanSen_TVECM()?
thanks a lot
output R from function HanSeo_TVECM
> HanSeo_TVECM(data,lag=2,trim=
0.05,gn=300,bn=300)
############################
###Linear VECM estimates (by Johansen MLE)
############################
Cointegrating vector 1 -8.434287
Standard error of the cointegrating value 2.616888
Parameters
ECM Intercept bi -1 inf -1 bi -2
Equation bi -0.008627598 -0.006055985 0.758366 0.02512693 -0.1240975
Equation inf 0.131374112 -0.355994435 3.971587 0.20726565 -2.7661240
inf -2
Equation bi -0.007603223
Equation inf -0.224955971
Standard errors with Eicker-White covariance matrix estimator
ECM Intercept bi -1 inf -1 bi -2
inf -2
Equation bi 0.004081985 0.01663758 0.08914615 0.02456267 0.08221155
0.01799844
Equation inf 0.034760850 0.08915086 1.66241171 0.19362012 0.93278372
0.06298056
Negative LL -183.1256
AIC -159.1256
BIC -160.4877Error in solve.default(t(zzj) %*% zzj) :
system is computationally singular: reciprocal condition number =
1.15007e-020
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