Bruce E. Hansen


Programs -- Threshold Models


STATA Programs. [Download].

"Inference when a nuisance parameter is not identified under the null hypothesis." Econometrica, (1996). [Download].

"Inference in TAR models." Studies in Nonlinear Dynamics and Econometrics, (1997). [Download].

"Threshold effects in non-dynamic panels: Estimation, testing and inference." Journal of Econometrics, (1999). [Download].

"Testing for Linearity." Journal of Economic Surveys, (1999). [Download].

"Sample splitting and threshold estimation." Econometrica, (2000). [Download].

"Threshold Autoregression with a Unit Root." Econometrica (2001), with Mehmet Caner. [Download].

"How responsive are private transfers to income? Evidence from a laissez-faire economy."
with Donald Cox and Emmanuel Jimenez, Journal of Public Economics, (2004), 88, 2193-2219. [Download].

"Testing for two-regime threshold cointegration in vector error correction models," with Byeongseon Seo, Journal of Econometrics (2002). [Download].

"Instrumental Variable Estimation of a Threshold Model", with Mehmet Caner, Econometric Theory, (2004), 20, 813-843. [Download].

"Regression Kink with an Unknown Threshold", (2015). [Download].

RATS program RATS Software Forum.