Search found 4 matches
Search found 4 matches • Page 1 of 1
- Sun May 14, 2017 8:32 am
- Forum: Estimation
- Topic: dummy in cointegration regression
- Replies: 3
- Views: 3089
I include a dummy variable (as a structural break in the intercept) into the "Deterministic regressors". I stumbled upon this post and suddenly got confused. The source of confusion in the "deterministic regressors" box for single equation DOLS estimation. Say I am estimating a ...
trubador wrote:Yes, tarcoint uses Engle-Granger specification.
Is there a way for residuals of Gregory&Hansen specification to become the treshold series in the analysis? For instance by including appropriate dummy variables into the exogenous box when estiamting Tarcoint?
- Thu Oct 29, 2015 2:04 am
- Forum: Program Repository
- Topic: Gregory-Hansen Cointegration Test
- Replies: 105
- Views: 94607
First of all, thank you for enabling GH cointegration test add-in for Eviews. I just have one (fairly technical) question regarding break dates. Does the identified date refer to the last date of the old regime or the first date of the new regime? I understand that Eviews generally (for instance for...