ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect
Does various types of the unit root regressions with threshold breaks on the residuals from an Engle-Granger cointegrating regression. Enders and Siklos(2001), "Cointegration and Threshold Adjustment," JBES, vol. 19, no. 2, 166-76.
|Date of creation:|
|Note:||RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
When requesting a correction, please mention this item's handle: RePEc:boc:bocode:rts00064. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If references are entirely missing, you can add them using this form.