HANSENECM1996: RATS programs to replicate Hansen's threshold estimation and testing results

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication program for a SETAR model on GNP from Bruce Hansen(1996), "Inference When a Nuisance Parameter is Not Identified Under the Null Hypothesis", Econometrica, vol 64, no. 2, pp 413-430.

Language: RATS
Requires: RATS 11.00
Keywords: Threshold; autoregression (search for similar items in EconPapers)
Date: 2026-01-02
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https://estima.com/procedures/HansenECM1996.rprj (application/zip)

Related works:
Journal Article: Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis (1996)
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