Search found 4 matches

by jug
Sun May 14, 2017 8:32 am
Forum: Estimation
Topic: dummy in cointegration regression
Replies: 3
Views: 3089

Re: dummy in cointegration regression

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 ...
by jug
Sun Mar 05, 2017 7:17 am
Forum: Add-in Support
Topic: TARCOINT
Replies: 46
Views: 41894

Re: TARCOINT

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?
by jug
Mon Nov 02, 2015 12:52 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 94607

Re: Gregory-Hansen Cointegration Test

Thank you.

Cheers.
by jug
Thu Oct 29, 2015 2:04 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 94607

Re: Gregory-Hansen Cointegration Test

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...

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