Gregory-Hansen and Threshold Cointegration

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Kahn
Posts: 8
Joined: Sun Apr 10, 2016 6:29 am

Gregory-Hansen and Threshold Cointegration

Postby Kahn » Sun Aug 28, 2016 12:50 am

Hello,

I have used the Johansen multivariate cointegration test to see whether a group of ten stock markets are cointegrated. However, I was wondering whether it would be possible to use the Gregory-Hansen and Enders-Siklos tests for structural-breaks and threshold adjustment on the entire system or whether they can only be used in a pairwise manner?

Any help is appreciated.

dakila
Posts: 385
Joined: Tue Nov 24, 2015 4:57 pm

Re: Gregory-Hansen and Threshold Cointegration

Postby dakila » Tue Aug 30, 2016 6:19 pm

Yes, it is possible. Just try it


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