Hansen Econometrica 1996

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

Hansen Econometrica 1996

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HansenECM1996.zip replicates the empirical example from Bruce Hansen(1996), "Inference When a Nuisance Parameter is Not Identified Under the Null Hypothesis", Econometrica, vol 64, pp 413-430. This is mainly a theoretical paper which describes the "fixed regressor bootstrap" that can be used for testing certain types of hypotheses. The program (GNPTAR.RPF) is a very straightforward use of the @TAR procedure.

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