Bruce E. Hansen
"Testing for Linearity"
Journal of Economic Surveys (1999)
Program and Data Files
This program replicates the empirical work reported in the above paper.
The file contains code to estimate threshold autoregressions and compute tests for the presence of threshold effects.
There is an F test of one regime against two regimes.
There is an F test of one regime against three regimes.
There is an F test of two regime against three regimes.
The p-values are calculated using asymptotic simulations and bootstrap methods.
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.