Hansen Econometrica 1996
Posted: Thu Aug 31, 2023 8:45 pm
HansenECM1996.zip replicates the empirical example from Bruce Hansen(1996), "Inference When a Nuisance Parameter is Not Identified Under the Null Hypothesis", Econometrica, vol 64, pp 413-430. This is mainly a theoretical paper which describes the "fixed regressor bootstrap" that can be used for testing certain types of hypotheses. The program (GNPTAR.RPF) is a very straightforward use of the @TAR procedure.
Detailed Description
Detailed Description