Skalin Terasvirta JAE 1999 (STAR models/Nonlinear Causality)
Posted: Thu May 31, 2012 2:49 pmThese 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
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- staje1999causal.rpf
- Causality tests
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- st-data.dat
- Data file
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- descript.pdf
- Data dictionary
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