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

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

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.

Suggested Citation

  • Tom Doan, "undated". "RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests," Statistical Software Components RTZ00191, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00191
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

    Download full text from publisher

    File URL: https://www.estima.com/procs_perl/skalin_terasvirta_jae1999.zip
    Download Restriction: no
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    More about this item

    Keywords

    Threshold model; STAR model; RATS;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

    Statistics

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