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Thank you so much! I made it and it works!
Have a great day!
Selin

Thank you so much! :) That is so helpful, now I can understand the model! But I never used quantiles before. How can I store the SC values and use the @quantile to compute the upper bound? Do I just add up all the SC values from each simulation? Thank you very much again. Have a great evening! Selin

Thank you so much! Your comment was so helpful! :) I have one endogenous variable y, one regressor x, and a Dynamic OLS Regression of y on x. The test statistic is called SC and is computed with the estimated residuals from this DOLS Regression. (an explicit Formula is given in the paper) Here is ho...

I want to understand how Sylvestre and Sanso compute the critical values in their paper "Testing the null of cointegration with structural breaks" I cant understand what they do in their paper. They state: "Percentage points of the asymptotic distribution are based on n=20000 replicat...

Thank you so much! It works great now! I appreciate it

Thank you so much, that was so helpful! :) Now I am able to compute long run variance, but I still cant use it in my formula. My code is as follows: wfcreate u 276 scalar SC series x=nrnd x.lrvar SC=276/x.lrvar*x.lrvar However, that gives a syntax error. How can I make and use the long-run variance ...

Thank you so much! I just looked up lrcov, but I am still a bit confused. Basically I am generating a new series x and I want to estimate its long run variance. I typed lrcov(x) but it tells me illegal command. How can I fix this? Thanks a lot again.

Hello! I am programming on Eviews and need to compute long run variance in my program at some point. Could anybody tell me what I should write in my code to get "long run variance" of a variable? Thank you so much for your help

Best

Selin

I need to re-compute the asymptotic critical values for exisiting cointegration models, could anybody give me a lead on this? I am really lost Are critical values obtained with Monte Carlo simulations? Any help would truly be appreciated. Thank you.

Does anyone have an Eviews code for the cointegration test with breaks developed by Carrion-i-Sylvestre and Sanso? I appreciate your answer in advance

Thank you!