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- Wed Oct 31, 2012 2:34 pm
- Forum: Econometric Discussions
- Topic: Gregory-Hansen test
- Replies: 0
- Views: 1443
Gregory-Hansen test
Hi all, I have conducted a Gregory-Hansen test with model C as in Gregory and Hansen (1996) as alternative for interest rate maturity pairs to identify cointegration. Although I can identify the smallest ADF* statistic, but there are several drops in the ADF* statistics. (If one plots the ADF* stati...