The RATS Software Forum

Hi Tom, Is it possible to run panel cointegration tests with structural break as in Banerjee and Carrion-i-Silvestre (2015), Westerlund (2006) and Westerlund and Edgerton (2008) ? The Gause codes for these tests are available in the personal pages of Carrion-i-Silvestre and Westerlund personal page:...

Nonlinearity test is done for the multivariate case and specification tests (parameter constancy and no remaining nonlinearity) are LM-type tests, all were done using Jmulti software which is freely downloadable on: http://www.jmulti.de/

When I estimated my model I found an evidence of double threshold, so now I want to run the test for a third threshold as Hansen (1999) did in his paper.

Hi Tom,
Is it possible to extend panel threshold test of Hansen (1999) to three breaks?
Thank you in advance,

Hi Tom,
Can we use the StarTest procedure for the multivariate case as follow ?

@StarTest( options ) depvar start end
# list of explanatory variables

Thank you. It works very well. The final step in Terasvirta (1994) (evaluation stage), the estimated STAR model needs to be evaluated before it can be used for forecasting or other purposes, so how can we do misspecification tests (especially "no additive linearity" or "parameter cons...

Thank you for your reply,
But startest.src is designed to univariate case (such as @startest y 1990:1 2009:12), how can I include the other regressors in this procedure ? or is there anoher method to run this test with multiple regressors ?
Thank you

Hello,
Can we apply Terasvirta(1994) example in a multivariate case, such y_t = a1.y_(t-1)+a2.x_(t)+a3.x(t-2)...?
Especially, how can we modify startest.src in order to test linearity vs STAR model in such case ?
Thanks

Hi,
I want to perform a rolling regression with Fully modified OLS techniques for Panel Data, Does anyone know how to adjust @panelfm procedure in odrer to get betas of rolling regresion ? or is there another way to get it ?
Thanks