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Re: Gregory-Hansen Cointegration Test
Posted: Fri May 03, 2019 7:15 pm
by Reynaldo2007
Dear all, Does this prg file for the gregory hansen test allow for the inclusion of exogenous variables (like dummies for crisis, for example)?
Re: Gregory-Hansen Cointegration Test
Posted: Mon Dec 09, 2019 3:23 am
by fmnadeem
hafizah0486 wrote: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 break. You kind help is highly appreciated :)
Did you got Narayan and Popp (2010) code for eviews?
Re: Gregory-Hansen Cointegration Test
Posted: Mon Dec 28, 2020 11:36 am
by Riddhima
Hello,
Can someone please let me know how to modify the program code of gregory hansen cointegration to include my 2 break dates instead of it endogenously finding it ? I am able to do it for one break date , please let me know how to do it for two break dates.
Thank you
Re: Gregory-Hansen Cointegration Test
Posted: Tue Dec 05, 2023 2:38 am
by hedieh.77
Reynaldo2007 wrote:Dear all, Does this prg file for the gregory hansen test allow for the inclusion of exogenous variables (like dummies for crisis, for example)?
Re: Gregory-Hansen Cointegration Test
Posted: Fri Dec 08, 2023 4:50 am
by hedieh.77
hedieh.77 wrote:Reynaldo2007 wrote:Dear all, Does this prg file for the gregory hansen test allow for the inclusion of exogenous variables (like dummies for crisis, for example)?