Miguel A. Tinoco , Studies in Nonlinear Dynamics and Econometrics (SNDE) used to have the code/data of all of its papers available for downloading, but SNDE changed after moving to a new editorial house (De Gruyter). I contacted the president of the SNDE society asking her about the codes of the journal (I was looking for a code myself), and she told me that the SNDE society is different from the SNDE journal, so I have to ask to the journal... at this point I end up coding the model I was needing myself, but probably you can try contacting the editor of SNDE, Bruce Mizrach (http://econweb.rutgers.edu/mizrach/) and asking him if there is still a code repository associated to the papers published at SNDE. I was an early reader of SNDE and I can assure you that it was before, that's for sure, but not sure if there is anymore.

I was looking at the papers you shared and also the test is not that difficult to code, basically is estimating a linear model and a (E)STAR non-linear model and then compare the results with a Wald test that follows a chi-2 distribution. I would suggest to replace the (E)STAR model with neural-networks (deep-learning if you have more data available), however, due to the universal approximation theorem.

Rolando Gonzales Martinez Thank you very much for your great answer.

following

Miguel A. Tinoco

Please browse the net by login with the title of the code. You can add pdf papers to see other authors that have used.

You can also go to Wikipedia.

Thank you, I found it in SNDE :)

Miguel A. Tinoco Now that you have found it, make it available here!!

So is it possible to share the code?