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 1388, Iowa State University, Department of Economics.
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