King, Plosser, Stock, Watson (AER 1991)
Posted: Thu Mar 29, 2018 4:25 pm
These are replication files for King, Plosser, Stock and Watson(1991), "Stochastic Trends and Economic Fluctuations", AER, vol 81, pp 819-840. This does extensive analysis of the properties of the cointegration space on three and six variable systems, and includes examples of many important RATS procedures, such as @JOHMLE, @SWDOLS and @FORCEDFACTOR, and ESTIMATE with an error correction term.
Zip with all programs and data files
Unit root tests, analysis of roots of VAR, preliminary analysis of cointegration using the @SWTRENDS, @SWDOLS and @JOHMLE procedures.
Tests of restrictions on the cointegrating vectors. Uses SWDOLS extensively.
More tests of restrictions on the cointegrating vectors.
Monte Carlo integration of impulse responses on VECM with known cointegrating vectors.
VECM with estimated cointegration vectors.
Isolation of long-run balanced growth shock using FORCEDFACTOR.
Data file:
Zip with all programs and data files
Unit root tests, analysis of roots of VAR, preliminary analysis of cointegration using the @SWTRENDS, @SWDOLS and @JOHMLE procedures.
Tests of restrictions on the cointegrating vectors. Uses SWDOLS extensively.
More tests of restrictions on the cointegrating vectors.
Monte Carlo integration of impulse responses on VECM with known cointegrating vectors.
VECM with estimated cointegration vectors.
Isolation of long-run balanced growth shock using FORCEDFACTOR.
Data file: