Dear Trubador
I would like to use the above code to test for cointegration between six countries in the presence of a structural break. Can you please help me in updating the main code i.e. extending it to a multivariate case?
Thank you.
Regards,
Sheri
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- Fri Jun 01, 2012 9:05 am
- Forum: Programming
- Topic: Gregory-Hansen cointegration test
- Replies: 17
- Views: 27172