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Hello, I have used the Johansen multivariate cointegration test to see whether a group of ten stock markets are cointegrated. However, I was wondering whether it would be possible to use the Gregory-Hansen and Enders-Siklos tests for structural-breaks and threshold adjustment on the entire system or...

Would it be valid to use the GH test for multiple series at once?

Dear Trubador, Assuming we do find evidence of cointegration, how would we proceed with our analysis if we had to estimate a VECM? How would the structural break or regime change be modelled in EViews? Would it suffice to simply split the sample into two sub-periods and estimate two models? I apprec...

Hello, I am very new to studying Markov Regime Switching Models however require urgent help and would appreciate any help. Basically, when i estimate a switching model in Eviews for stock return data, I get decent estimates for the S&P 500. However, when I do the same for the FTSE Kuwait index I...

Hello,

I have calculated a VECM which has two equations. Is it possible to open only one of these equations separately?

That would lead to "generated regressors problem". You may try to migrate your VECM into the system framework and use the ARCH estimation. In order to do that, you should first identify and fix the long-run (cointegration) relationship via VEC and estimate all the remaining coefficients (...

Hello Again, After researching a bit more, some people have said that you may not be able to estimate such a model in EViews however my question now is that would it make sense to get one particular variable in the VECM system, say Delta R, and generate a new variable of Delta R but with GARCH error...

Hello, I have calculated a VECM model however I am now required to: 1) Re-estimating the VECM but with GARCH(1,1) errors and testing for asymmetries and conditional non-normalities 2) Again Re-Estimate but this time a GARCH with the mean equation consisting of a constant only I've tried multiple sea...