Citation:
Stock J. Confidence Intervals for the Largest Autoregressive Root in Macroeconomic Time Series. Journal of Monetary Economics. 1991;28 :435-459.
 | 1.5 MB | |
 | Replication Files | 639 KB |
Notes:
(1) The original software included this .zip file is ancient and needs modification to run under modern versions of GAUSS or RATS. Todd Clark has updated the RATS code (3/17/03) and Todd’s update is included in the RATSupdate directory in this .zip file. Thanks Todd!
(2) If anyone has a STATA program that computes these intervals, please let me know and I’ll link to your software.