The LTVAR package estimates the Latent Threshold Vector Autoregressive Model of Nakajima and West (2013).

# Installation

To install the package you need the devtools package. If you don’t have the devtools package, you can install it with

install.packages("devtools")

Once you have installed the devtools package you can install the ltvar package with

library(devtools)
devtools::install_github('joergrieger/ltvar')