Enders-Granger Test Files
Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates
Walter Enders and C. W. J. Granger
Walter Enders and C. W. J. Granger
Abstract
This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and momentum threshold autoregressive processes. The standard Dickey-Fuller tests emerge as a special case. Within a reasonable range of adjustment parameters, the power of the new tests is shown to be greater than that of the corresponding Dickey-Fuller test. The use of the tests is illustrated using the term structure of interest rates. It is shown that the movements toward the long-run equilibrium relationship are best estimated as an asymmetric process.
Data used to perform test: Granger.xls
RATS Source code to perform test: TAR_UNIT.TXT
The following code will perform the cointegration version of the test as developed in:
Cointegration and Threshold Adjustment. (with Pierre Siklos). Journal of Business and Economic Statistics 19, 2001. pp. 166–76.
RATS Procedure File for Enders Silkos Test
Note: All papers are formatted in PDF files. To download the software for free, go to www.adobe.com/products/acrobat/readstep2.html.
This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and momentum threshold autoregressive processes. The standard Dickey-Fuller tests emerge as a special case. Within a reasonable range of adjustment parameters, the power of the new tests is shown to be greater than that of the corresponding Dickey-Fuller test. The use of the tests is illustrated using the term structure of interest rates. It is shown that the movements toward the long-run equilibrium relationship are best estimated as an asymmetric process.
Data used to perform test: Granger.xls
RATS Source code to perform test: TAR_UNIT.TXT
The following code will perform the cointegration version of the test as developed in:
Cointegration and Threshold Adjustment. (with Pierre Siklos). Journal of Business and Economic Statistics 19, 2001. pp. 166–76.
RATS Procedure File for Enders Silkos Test
Note: All papers are formatted in PDF files. To download the software for free, go to www.adobe.com/products/acrobat/readstep2.html.