Gregory hansen interpretation

[jjaa]

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]

The same advice applies here as well...

[kakali]

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.

[trubador]

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)