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