@ENDERSGRANGER is a procedure for doing the Enders-Granger test for threshold unit root behavior from Enders and Granger(1998), "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates", JBES, vol 16, pp 304-11. A related procedure for cointegration is @EndersSiklos.
Detailed Description
ENDERSGRANGER—Enders-Granger Threshold Unit Root Test
Re: ENDERSGRANGER - Enders-Granger Threshold Unit Root Test
Dear Tom,
Which test is better Enders-Granger or Caner-Hansen? Is it possible to also implement Caner and Hansen (2001) Threshold unit root test with RATS? I have not found in the workbook "RATS Handbook for Switching Models and Structural Breaks" that I recently bought with applications.
Matlab Codes and data obtained from Hansen's homepage are attached.
"Threshold Autoregression with a Unit Root." Econometrica (2001), Mehmet Caner and Bruce Hansen.
Which test is better Enders-Granger or Caner-Hansen? Is it possible to also implement Caner and Hansen (2001) Threshold unit root test with RATS? I have not found in the workbook "RATS Handbook for Switching Models and Structural Breaks" that I recently bought with applications.
Matlab Codes and data obtained from Hansen's homepage are attached.
"Threshold Autoregression with a Unit Root." Econometrica (2001), Mehmet Caner and Bruce Hansen.
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Last bumped by TomDoan on Thu Aug 31, 2023 11:43 am.