Bruce E. Hansen and Byeongseon Seo
"Testing for two-regime threshold cointegration in vector error correction models" (9/2001)
Journal of Econometrics (2002), 110, 293-318.
Program and Data Files
This program replicates the empirical work reported in the above paper.
The program estimates a threshold bi-variate VECM, and tests for the presence of a threshold.
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.