RATS programs to replicate Hansen/Seo paper on threshold cointegration
AbstractReplication file for Hansen and Seo(2002), "Testing for two-regime threshold cointegration in vector error-correction models", Journal of Econometrics, vol 110, pp 293-318.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00092.
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:
- Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
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