貌似，R语言中TECM只能做两个Threshold 的，
nthresh=1: estimation of one threshold model (two regimes) upon a grid of ngridTh values (default to ALL) possible thresholds and delays values.
nthresh=2: estimation of two thresholds model (three regimes). Conditional on the threshold found in model where nthresh=1, the second threshold is searched.
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