Search found 6 matches

by Hshadmani
Mon Aug 19, 2024 4:30 pm
Forum: Looking for Code?
Topic: cointegrating nonlinear ARDL
Replies: 10
Views: 68044

Re: cointegrating nonlinear ARDL

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.
by Hshadmani
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?
by Hshadmani
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...
by Hshadmani
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...
by Hshadmani
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...