RATS programs to replicate results from Gregory and Hansen(1996) JOE article

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication of example from Gregory and Hansen(1996), "Residual-based Tests for Cointegration in Models with Regime Shifts", Journal of Econometrics, vol 70, 99-126.

Language: RATS
Requires: RATS 7.30
Keywords: Cointegration; with; structural; breaks (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/gregoryhansen_joe1996.zip (application/zip)

Related works:
Journal Article: Residual-based tests for cointegration in models with regime shifts (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00081

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