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Hi i am follwing a paper to run cointegration and vector error correction model : 11.jpg after that the paper --> 22.jpg i think the paper treat the error correction model as the mean equation.. the problem is that i have no idea on how to specify VECMmean equation in eviews. instead, i proc-> make ...

thank you so much JimForest,

i have install R (http://cran.r-project.org/bin/windows/base/) and eviews into computers, after xopen(r) i got error message: fail to install R. what can I do?

JimForest wrote:Yeah, well you are testing for a structural break in the residuals of a regression of that form.

Thank you !
if price series is stock price, do I need to log the series before using this addin?

JimForest wrote:If you want to test for a structural break in the mean, I would suggest you just regress the dependent variable on a constant.

hi If i want to test for strucutual breaks in trend and constant, can i regress both?

y c @trend ?

Hi all,

Is the BaiPerron only detect the breakpoints? I mean it does not provide unit root test right?

If I need to do unit root test on time series that have one or more than one breaks, what should i do?

Thx!

wonder that the addin is test on 'log(price)' or 'price' series? thx

I have the same problem, two series.. two cointegrating relations, why nobody can answer this question........

hello,

Tope wrote:hello,

is there any references for such conclusion? thank you ... I find two cointegration relationship with two variables in my results, n i have google the evidences for a long time, but have not find the references LOL

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Hi all, I am currently doing Johansen's conintegration test, suppose sample period is 2000/10/10 to 2010/10/10 for both variable x and y. I need to test both the cointegration for same-day data " x(t) and y (t)" , and cointegration for different-day data "x(t+1) and y(t)", i know...