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I would like to estimate time-varying speed of adjustment coefficients in a bi-variate VEC model using a state-space and kalman filter approach. Could you please help me in setting up the program...
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I am estimating a single-equation VEC model from a seven-variable system. The Johansen Cointegration tests (both Trace and MaxEignvalue) reveal that the system have 4 distinct ranks. Will my...
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Does anyone have an idea which software provides built-in codes to run cointegration analysis in the presence of structural breaks (Johansen et al. 2000 test). Your help would be highly...
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