Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates
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 InfoPaper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 1388.
Date of creation: 30 Jun 1998
Date of revision:
Publication status: Published in Journal of Business & Economic Statistics, July 1998,
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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
Web page: http://www.econ.iastate.edu
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Other versions of this item:
- Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-11, July.
- Tom Doan, . "RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots," Statistical Software Components RTZ00054, Boston College Department of Economics.
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