Mehmet Caner and Bruce E. Hansen
"Threshold Autoregression with a Unit Root"
Econometrica (2001)
Program and Data Files
This program replicates the empirical work reported in the above paper.
The program estimates threshold autoregressions, constrained and unconstrained, by least squares.
The program tests for the presence of a threshold usingbootstrap methods.
The program tests for a unit root using both asymptotic and bootstrap p-values.
Gauss Programs and Data
Matlab Programs and Data
R Programs and Data
Link to Abstract and PDF File of Paper
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.