Search found 3 matches

by Kinga
Sat Mar 20, 2010 6:32 pm
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 94122

Re: Gregory-Hansen Cointegration Test

dear trubador,

I am getting the same error message: "!type mismatch at argument 2 in "call greghansen(x,y,2,"aic",5)" whenever i run the code.

Could you please help to resolve the problem.

Kinga
by Kinga
Sat Dec 05, 2009 3:56 pm
Forum: Econometric Discussions
Topic: Method for non-stationay time series data
Replies: 34
Views: 51798

Re: Method for non-stationay time series data

Dear CF Tang I am using EViews6 and I am testing for cointegration between two variables using Engle-Granger two step procedure. I concluded that my variables are integrated of order one I(1) but they are not cointegrated. This means I should test for short run relationship using standard Granger ca...
by Kinga
Sun Nov 08, 2009 4:59 pm
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 94122

Re: Gregory-Hansen Cointegration Test

Hello, I would like to test cointegration with two unknow regime shifts, as Abdulnasser Hatemi-J(2008) "Testing cointegration with two unknown regime shifts with an application to financial market integration". The program code (Gregory -Hansen Cointegration Test) you provided above tests ...

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