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RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Replicates 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".

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots," Statistical Software Components RTZ00054, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00054
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/endersgrangerjbes1998.zip
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    Keywords

    Threshold unit root test; RATS;

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