Enders-Siklos JBES 2001
Posted: Wed Jun 29, 2011 11:04 amThis 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.
The EndersSiklos procedure that does most of the work is at http://www.estima.com/forum/viewtopic.php?f=7&t=1111
esprogram.rpf- Program file
- (1.2 KiB) Downloaded 332 times
- rates.xls
- Data file
- (44.68 KiB) Downloaded 273 times
The EndersSiklos procedure that does most of the work is at http://www.estima.com/forum/viewtopic.php?f=7&t=1111