Gregory hansen interpretation

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jjaa
Posts: 11
Joined: Tue Sep 28, 2010 8:19 pm

Gregory hansen interpretation

Postby jjaa » Sun Nov 07, 2010 2:39 pm

Hi,
I have just run the GH cointegration test but I realley do not understand what i got. could please someone help me? which is the null hypothesis? what is the distribution that it uses?. Please heelp me

Thank you in advance

trubador
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Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: Gregory hansen interpretation

Postby trubador » Wed Nov 10, 2010 12:53 am

The same advice applies here as well...

kakali
Posts: 6
Joined: Wed Apr 25, 2012 1:48 am

Re: Gregory hansen interpretation

Postby kakali » Wed Apr 25, 2012 2:16 am

Dear Mr. Tribadator,

I don't know E-views programming. I have been running the Greg-Hansen code which you wrote , have been facing the following problem.

Type Mismatch at Argument 2 in "Call GREGHANSEN (y, x, 3, "AIC", 6)

I am attaching here the prog file and data file.

Your quick response will be appreciated.

Regards,
-Kakali.
Attachments
gold.xls
(18.5 KiB) Downloaded 89 times
ghtest.prg
(4.8 KiB) Downloaded 129 times

trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: Gregory hansen interpretation

Postby trubador » Wed Apr 25, 2012 2:39 am

It is not clear what you are asking for here or what you are trying to achieve. If you are trying to build a cointegration model among Gold, NYSE and CPI then you should first decide your dependent (Y) variable. And then you should group other variables as independents (X). For instance:

Code: Select all

group independents
independents.add nyse cpi
call greghansen(gold,independents,3,"aic",6)


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