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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?

Thank you.

Cheers.

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...