I run the following "threshold" command:
threshold y, threshvar(x) nodots regionvars(x lx.1 ly.1 ly.2) vce(r)


The threshold exists and splits the sample into two Regions. I am trying now to get the impulse response functions and the variance decomposition curve for each region.
To do so, I treat it as an ARmaX model, so I run the command:
arima y x lx.1, ar(1/2) vce(robust)

But this command does not take into consideration the threshold value.
Also, using the "irf" command for the impulse response function, it returns back only the y,y impulse response function.