Gregory-Hansen and Threshold Cointegration

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Gregory-Hansen and Threshold Cointegration

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


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.

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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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