I have tried with E-views 7 and stata 11 but failed to find the result. While doing it with E-views, I am getting only result for "level shift" but no such estimated result can be found for "level shift with trend" and "Regime Shift". But in stata I could not find the command.
Please help me.
Auro. May be you could try to access EVIEWS version 8.0. This is my guess.
To analyse the cointegration between variables with structural breaks (switching regime) by carrying out Gregory and Hansen (1996)’s test « Residual-based tests for cointegration in models with regime shifts », the code is available for Eviews8, Gauss, Matlab and R. For more details, you can refer to the following link: http://www.ssc.wisc.edu/~bhansen/progs/joe_96.html
Best regards,
Thank you so much for the information. I got the code. thanks a lot..
Eviews has a sub routine greghansen and Stata has ghansen ado to compute Gregory Hansen Cointegration Tests. I am sure you all used it by now.
Dear all, kindly click on the link below to watch video on how to perform the Gregory-Hansen test
https://youtu.be/mC9ETR4OHi8
Hello all .I am doing time series analysis using 41 observations and six variables.I wanted to check Gregory-Hansen break cointegration using stata but while performing this command :
ghansen (Dependent variable and all independent variables), break(level) lagmethod(aic) maxlags(5)
I get this result "more than 4 right hand side variables not supported"
How do i do this GH break cointegration using stata ? steps please
- Badges
- Science topic
- Similar topics
- Statistics
- Time Series