Balke-Fomby (1997) Threshold Cointegration
Posted: Thu Mar 03, 2016 9:37 am
This is a replication for Balke and Fomby(1997), "Threshold Cointegration," International Economic Review, vol 38, no 3, 627-45. This demonstrates use of the TSAYTEST procedure, the RLS instruction with observations ordered in various ways, and the use of SWEEP for efficient calculation of multiple breaks in a least squares model.
This is described in considerable detail as part of the Structural Breaks and Switching Models e-course.
This is described in considerable detail as part of the Structural Breaks and Switching Models e-course.