# Tsay (1998) "Testing and Modeling Multivariate
# Threshold Models", J. of American Statistical Assn, vol. 93, no. 443,
# 1188-1202.

# U.S. Interest Rates example. Data are similar, but not identical to
# those used in the paper.
install.packages("tsDyn")
install.packages("texreg")

library(tsDyn)
library(texreg)

tsaydata = read.csv("http://condor.depaul.edu/jlee141/datalib/usrates.csv", header=TRUE)
attributes(tsaydata)
indat <- tsaydata[2:410,]

indat$g3month <- log(tsaydata$FCM3[2:410]/tsaydata$FCM3[1:409])
indat$g3year  <- log(tsaydata$FTB3[2:410]/tsaydata$FTB3[1:409])

invar  <- c("g3month", "g3year")
indata1 <- indat[invar]
head(indata1)
model1 <- TVAR(indata1, lag=7, nthresh=3, thDelay=1, trim=0.1, mTh=1, plot=TRUE)
summary(model1)

invar  <- c( "g3year","g3month")
indata2 <- indat[invar]  
head(indata2)
model2 <- TVAR(indata2, lag=7, nthresh=3, thDelay=1, trim=0.1, mTh=1, plot=TRUE)
summary(model2)