Balke-Fomby (1997) Threshold Cointegration
Posted: Fri May 06, 2011 9:45 amThis is a replication for Balke and Fomby(1997), "Threshold Cointegration," International Economic Review, vol 38, no 3, 627-45. This demonstrates use of the TSAYTEST procedure, the RLS instruction with observations ordered in various ways, and the use of SWEEP for efficient calculation of multiple breaks in a least squares model.
Program file:
Data file:
Program file:
spread.rpf- (2.44 KiB) Downloaded 299 times
Data file:
- irates.xls
- (39.02 KiB) Downloaded 252 times