Antti Ripatti and Pentti Saikkonen, "Vector Autoregressive Processes
with Nonlinear Time Trends in Cointegrating Relations",
Macroeconomic Dynamics

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The data and the gauss code is packed into the zip-file called:
NONLIN.ZIP
You are reading file called:
Readme

The description of the files:

IGAUSS.ATO
Gauss ATOG code to generate gauss data set. Use command (in the dos-prompt)
atog igauss.ato

IGAUSS.TXT
Data organized by observations. The detailed description is below.
Variables are separated by spaces and tabs.

IGAUSS.DAT
IGAUSS.DHT
Gauss binary format data sets. These are used by .g files.

mlagnr.g
The main gauss program file for computing most of the results in
the paper. You need gauss CML library to be able to run the program.

lrtest.g
The gauss program of computing the test for zeros in phi-vector
(see the paper for exact meaning).
You need gauss CML library to be able to run the program.

Nonlin.g
The gauss program for computing part of the nonlinear tests reported
in the table 1 of the paper.

procs.src
Some general purpose gauss procedures that are used by .g files.
Please, do not use these code for other purposes but replicating
our results. You may ask the permit to use the code or more such
a code from 
antti.ripatti@bof.fi
or consult (I may add my gauss tools to my web pages)
http://www.helsinki.fi/~ripatti/

MLAGNR.fmt
SAVDELTA.fmt
Some gauss matrix files which contain initial values for the parameters.

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In order to replicate the results, please, have the Gauss for Windows
version 3.2.37 (or higher). You also need the CML library.

Place all the files to the same directory and set that directory as
the working directory of the gauss program (properties tag in the gauss
icon).

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The variable ordering in the file IGAUSS.TXT

Paiva	Date in the format yyyyMmm
it		a variable not used in the study
i1m		1 month money market rate (I1M)
iown	Own-yield of the Finnish M3 (IOWN)
iownt	a variable not used in the study
imaxt	a variable not used in the study
DSPEC	a variable not used in the study
ibond	Bond rate (IBOND)
i12m	a variable not used in the study
iloan	a variable not used in the study
i3m		3 months money market rate (I3M)