Dear Tom,
Are there any updates on this thread? I need to implement a NARDL model similar to the one by Shin, Yu, and Greenwood (2014). It is available in R, Gauss, Stata, and EViews, but I was wondering if there is any code available in RATS for it.
Thank you.
Search found 6 matches
- Mon Aug 19, 2024 4:30 pm
- Forum: Looking for Code?
- Topic: cointegrating nonlinear ARDL
- Replies: 10
- Views: 68044
- Mon Dec 04, 2017 10:43 am
- Forum: Looking for Code?
- Topic: Hansen's bootstrap to compute critical value of F-distributi
- Replies: 4
- Views: 14794
- Fri Dec 01, 2017 7:41 pm
- Forum: Looking for Code?
- Topic: Hansen's bootstrap to compute critical value of F-distributi
- Replies: 4
- Views: 14794
Re: Hansen's bootstrap to compute critical value of F-distri
So the critical value is the Maximum F-test in the output?
- Fri Dec 01, 2017 6:19 pm
- Forum: Looking for Code?
- Topic: Hansen's bootstrap to compute critical value of F-distributi
- Replies: 4
- Views: 14794
Hansen's bootstrap to compute critical value of F-distributi
Hello! I am running an endogenous Threshold Regression using a grid search to find the best breakvalue. Now I want to compare this model to OLS through F-statistics. I know I should use Hansen's bootstrap method rather than the standard F-distribution table to compute critical value. I was wondering...
- Tue Aug 01, 2017 6:26 pm
- Forum: General Econometrics
- Topic: GMM
- Replies: 5
- Views: 71450
Re: GMM
Thank you Tom! I did the following still got similar results. LINREG R 2000:01 2008:01 # Constant e e2 Compute %zz= %WMATRIX INSTRUMENTS constant R{1 2 3 4 5 6 7 8 9 10 11 12 } e{0 1 2 3 4 5 6 7 8 9 10 11 12 } $ FEDFUND{1 2 3 4 5 6 7 8 9 10 11 12 } LINREG(INST,WMATRIX=%zz, LWINDOW=NEWEY,LAGS=4) R 20...
- Tue Aug 01, 2017 5:34 pm
- Forum: General Econometrics
- Topic: GMM
- Replies: 5
- Views: 71450
GMM
Hi I am trying to replicate two papers 1. Foreign exchange market intervention and reserve accumulation in emerging Asia by Pontines and Rjan (2011) 2. Preference asymmetry and international reserve in India. by Srinivasan, Mohambare and Rmachandran (2009). I am using the command below to estimate a...