RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests
Replication file for Skalin and Terasvirta(1999), "Another Look at Swedish Business Cycles, 1861-1988", Journal of Applied Econometrics, vol. 14, no 4, pp 359-78. This fits ESTAR and LSTAR models to a number of long annual macro series from Sweden and does a causality test allowing for threshold effects.
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|Note:||RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml|
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