Skalin Terasvirta JAE 1999 (STAR models/Nonlinear Causality)

[TomDoan]

These are replication files for (part of) Skalin and Terasvirta(1999), "Another Look at Swedish Business Cycles, 1861-1988", Journal of Applied Econometrics, vol. 14, no 4, pp 359-78. They fit LSTAR or ESTAR models to long annual data for quite a few Swedish macro data series and do a "non-linear" causality test, testing the null that a second series doesn't enter into the STAR model (either linearly or through its own STAR effect). This only does a few of the series, but demonstrates the techniques required.

stjae1999.rpf

Estimation of STAR models

(5.25 KiB) Downloaded 158 times

staje1999causal.rpf

Causality tests

(2.82 KiB) Downloaded 154 times

st-data.dat

Data file

(31.98 KiB) Downloaded 133 times

descript.pdf

Data dictionary

(12.09 KiB) Downloaded 139 times

[mskare69]

Dear Tom,

Is there a full RATS code for replicating all results in Terasvirta, Skalin - Another Look at Swedish Business Cycles 1861-1988?

Fondly,

Marinko

[TomDoan]

Dear Tom,

Is there a full RATS code for replicating all results in Terasvirta, Skalin - Another Look at Swedish Business Cycles 1861-1988?

Fondly,

Marinko

No. We did a few to illustrate the technique. The value added from more would be near zero.