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

Tom Doan ()

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. Demonstrates use of tar.src procedure.

Language: RATS
Requires: RATS 7.00
Keywords: Threshold; autoregression (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/hansenecm1996.zip (application/zip)

Related works:
Journal Article: Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00091

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