The RATS Software Forum

Does anyone have code for the test in Narayan, P.K., and Popp, S., (2010) A new unit root test with two structural breaks in level and slope at unknown time, Journal of Applied Statistics, 37, 1425-1438.?

Sala-i-Martin has a variant on Leamer's extreme bounds which looks at the whole distribution of the estimated coefficients not just the upper and lower bounds as done in EBA.SRC
Has anyone gotten a RATS version of the SiM approach?

Looking for RATS code for the Phillips et al right Tailed Unit Root tests for explosive bubbles. the WP is here cowles.econ.yale.edu/P/cd/d18a/d1843.pdf ; a Matlab code is available here https://sites.google.com/site/shupingshi/PrgGSADF.zip?attredirects=0&d=1 and there is a eviews addin also ava...

Im also wondering about the individual directional spillovers a la 2011 paper. Anybody get any further with this?

zoo wrote:for a linear shift if you use cats in rats you can adding two lines such as:

set D85 78:6 85:03 = 0
set D85 85:03 96:06 = 1

where the dummy D85 lies in the cointegration space.

Indeed. However, I should really try to make myself clear when I post.... I meant in essence Markov Shifting VAR's

Anybody got code for regime shifting VAR/VECM?