Balke-Fomby (1997) Threshold Cointegration

[TomDoan]

This is a replication for Balke and Fomby(1997), "Threshold Cointegration," International Economic Review, vol 38, no 3, 627-45. This demonstrates use of the TSAYTEST procedure, the RLS instruction with observations ordered in various ways, and the use of SWEEP for efficient calculation of multiple breaks in a least squares model.

This is described in considerable detail as part of the Structural Breaks and Switching Models e-course.

spread.rpf

Program file

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irates.xls

Data file

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