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Nonlinear ARDL code
Posted: Thu Nov 03, 2016 11:15 pm
by meissa
Dear All,
Could anyone provide the Nonlinear ARDL code on RATS? any help is highly appreciated. many thanks in advance.
Re: Nonlinear ARDL code
Posted: Fri Nov 04, 2016 6:54 am
by TomDoan
Could you be (a lot) more specific?
Re: Nonlinear ARDL code
Posted: Sun Nov 06, 2016 2:04 am
by meissa
Dear Tom,
many thanks, i would like to estimate the Nonlinear ARDL model using the procedure from this paper:
Shin, Y., Yu, B. and Greenwood-Nimmo, M.J. (2014). "Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework". In William C. Horrace and Robin C. Sickles (Eds.), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, pp. 281-314. New York (NY): Springer Science & Business Media.
your help is highly appreciated.
Re: Nonlinear ARDL code
Posted: Mon Nov 07, 2016 12:27 pm
by TomDoan
There's another thread about that.
https://estima.com/forum/viewtopic.php?f=38&t=1557
As I point out, it's just linear regressions with a search for a threshold value.