This repository contains all the (GAUSS and R) code for the paper titled “Properties of Test Statistics for Nonparametric Cointegrating Regression Functions Based on Subsamples” by (Sepideh Mosaferi, Mark S. Kaiser, and Daniel J. Nordman).
The repository is structured as follows:
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The folder “Applications” has all the code in order to run the applications of the paper.
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The folder “Data” contains all the data sets of the paper.
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The folder “Simulations” has all the code in order to run the simulations of the paper.