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

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

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.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00091
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/hansenecm1996.zip
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    Keywords

    Threshold autoregression; RATS;

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