cointegrating nonlinear ARDL

[Ozmando]

Hi All,

I am looking for RATS code to estimate a cointegrating nonlinear ARDL as in the paper by Shin, Y., Yu, B. and Greenwood-Nimmo, M.J. (2012, April). "Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework" which can be found at this link: http://www.greenwoodeconomics.com/workingpapers.html.

There is a gauss code in the link.

Thanks in advance for your help.
Oz

[TomDoan]

There's nothing particularly difficult about that - it's LINREG's with a search over the threshold value. However, if there is any Gauss code on that link, I don't see it.

[hlchan]

Dear Tom,

Here is the guass code
http://www.greenwoodeconomics.com/ardlmc.g

[Ozmando]

Hi Tom,

I have now managed to run the Gauss version of the code.
But I guess a RATS code will still be useful for RATS users.

Thanks,
Oz