Enders-Siklos JBES 2001

[TomDoan]

This is the replication file for Enders and Siklos(2001), "Cointegration and Threshold Adjustment," JBES, vol. 19, no. 2, 166-76 which estimates and tests for cointegration in a bivariate system allowing for asymmetrical error corrections.

esprogram.rpf

Program file

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rates.xls

Data file

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The EndersSiklos procedure that does most of the work is at http://www.estima.com/forum/viewtopic.php?f=7&t=1111