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by yoryiecn
Thu Jul 17, 2014 10:06 am
Forum: Econometric Discussions
Topic: cointegration in structural breaks
Replies: 0
Views: 1635

cointegration in structural breaks

I am working with databases that when i test with Perron (1997) (the add in) exist evidence of unit root test with structural break. I want to know if exist a method (or addin) more apropiated to test the residuals (resids) to know if the model is OK or is not valid due a structural break. What is t...
by yoryiecn
Thu Jul 17, 2014 9:47 am
Forum: Econometric Discussions
Topic: Cointegration question
Replies: 1
Views: 2594

Cointegration question

Hi everybody! I am a newbie in the time series analysis.. Well.. i appreciate your help in this topic. When i make a Johansen's cointegration test and the trace test indicates one (or more) cointegration relationships AND the Eigen. Max indicates no cointegration in ALL MODELS what is supposed that ...

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