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RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests


  • Tom Doan

    () (Estima)


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.

Suggested Citation

  • Tom Doan, "undated". "RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests," Statistical Software Components RTZ00191, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00191
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    Threshold model; STAR model;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods


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