RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots
AbstractReplicates Enders and Granger(1998), "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates", JBES, vol 16, 304-11. The technical details of the program are described on pages 128 - 132 of Enders' "RATS Progamming Manual".
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00054.
Programming language: RATS
Requires: RATS 8.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers, Iowa State University, Department of Economics 1388, Iowa State University, Department of Economics.
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