King, Plosser, Stock, Watson (AER 1991)

[TomDoan]

These are replication files for King, Plosser, Stock and Watson(1991), "Stochastic Trends and Economic Fluctuations", AER, vol 81, pp 819-840. This does extensive analysis of the properties of the cointegration space on three and six variable systems, and includes examples of many important RATS procedures, such as @JOHMLE, @SWDOLS and @FORCEDFACTOR, and ESTIMATE with an error correction term.

Zip with all programs and data files

kpsw1.rpf

(2.6 KiB) Downloaded 1173 times

Unit root tests, analysis of roots of VAR, preliminary analysis of cointegration using the @SWTRENDS, @SWDOLS and @JOHMLE procedures.

kpsw2.rpf

(975 Bytes) Downloaded 1250 times

Tests of restrictions on the cointegrating vectors. Uses SWDOLS extensively.

kpsw3.rpf

(1.31 KiB) Downloaded 1113 times

More tests of restrictions on the cointegrating vectors.

kpsw4.rpf

(3.98 KiB) Downloaded 1093 times

Monte Carlo integration of impulse responses on VECM with known cointegrating vectors.

kpsw5.rpf

(3.33 KiB) Downloaded 1111 times

VECM with estimated cointegration vectors.

kpsw6.rpf

(3.3 KiB) Downloaded 1185 times

Isolation of long-run balanced growth shock using FORCEDFACTOR.

Data file:

kpswdata.rat

(14.75 KiB) Downloaded 1271 times