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by hafizah0486
Tue Aug 02, 2016 1:34 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 94735

Re: Gregory-Hansen Cointegration Test

I have found the program file for Johansen et al (2000) from Prof. Dave Giles website. However, I am not sure on how can I conduct the test. Hope you can help. http://web.uvic.ca/~dgiles/downloads/johansen/ ' COMPUTATION OF ASYMPTOTIC CRITICAL VALUES FOR THE H(c) and H(L) COINTEGRATION TESTS WHEN TH...
by hafizah0486
Tue Aug 02, 2016 1:27 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 94735

Re: Gregory-Hansen Cointegration Test

Dear Mr. Trubador, thank you very much for sharing. Your post really help me in conducting my research. I really appreciate if you could also share on how to conduct the unit root test with break proposed by Narayan and Popp (2010) and Johansen, Mosconi & Nielsen (2000) cointegration test with b...

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