RATS programs to replicate Hansen/Seo paper on threshold cointegration
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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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KeywordsThreshold cointegration; RATS;
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