Program for Estimating a TAR-WACD(1,1) Model
The threshold 3.79 is prespecified.
all 0 3534:1
open data ibm1to5.txt
data(org=obs) / x rt
set psi = 1.0
nonlin a1 a2 al b0 b2 bl
frml u = ((x(t-1)-3.79)/abs(x(t-1)-3.79)+1.0)/2.0
frml cp1 = a1*x(t-1)+a2*psi(t-1)
frml gma1 = %LNGAMMA(1.0+1.0/al)
frml cp2 = b0+b2*psi(t-1)
frml gma2 = %LNGAMMA(1.0+1.0/bl)
frml cp = cp1(t)*(1-u(t))+cp2(t)*u(t)
frml gln1 =al*gma1(t)+log(al)-log(x(t)) $
+al*log(x(t)/(psi(t)=cp(t)))-(exp(gma1(t))*x(t)/psi(t))**al
frml gln2 =bl*gma2(t)+log(bl)-log(x(t)) $
+bl*log(x(t)/(psi(t)=cp(t)))-(exp(gma2(t))*x(t)/psi(t))**bl
frml gln = gln1(t)*(1-u(t))+gln2(t)*u(t)
smpl 2 3534
compute a1 = 0.2, a2 = 0.85, al = 0.9
compute b0 = 1.8, b2 = 0.5, bl = 0.8
maximize(method=bhhh,recursive,iterations=150) gln
set fv = cp(t)
set resid = x(t)/fv(t)
set residsq = resid(t)*resid(t)
cor(qstats,number=20,span=10) resid
cor(qstats,number=20,span=10) residsq

多谢了!
或者能给小弟一点点的提示