To cite threg in publications use:

Xiao T, Whitmore GA, He X, Lee MT (2015). “The R Package threg to Implement Threshold Regression Models.” Journal of Statistical Software, 66(8), 1–16. http://www.jstatsoft.org/v66/i08/.

Corresponding BibTeX entry:

  @Article{,
    title = {The {R} Package {threg} to Implement Threshold Regression
      Models},
    author = {Tao Xiao and G. A. Whitmore and Xin He and Mei-Ling Ting
      Lee},
    journal = {Journal of Statistical Software},
    year = {2015},
    volume = {66},
    number = {8},
    pages = {1--16},
    url = {http://www.jstatsoft.org/v66/i08/},
  }