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

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: RATS
Requires: RATS 8.00
Keywords: Threshold model; STAR model (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/skalin_terasvirta_jae1999.zip (application/zip)

Related works:
Journal Article: Another Look at Swedish Business Cycles, 1861-1988 (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00191

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