I am a fairly new user of the R software. I started using it because the possibilities seems to align more with my regression purposes. However, the R packages which I came across does not allow me to create a setar model which include as well an exogenous regressor (not a threshold variable)
I tried to modify the tsDyn package in order to allow the setar model to include the additional regressor. However, the underlying nlar.struct method is blocking the option to create a multivariate threshold model.
Is there someone here who has experience with modifying the tsDyn package in order to create this possibility or perhaps knows another package which allows to regress a setarx model?