Gregory-Hansen Cointegration Test

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Reynaldo2007
Posts: 12
Joined: Sun Jan 17, 2016 7:21 pm

Re: Gregory-Hansen Cointegration Test

Postby Reynaldo2007 » Fri May 03, 2019 7:15 pm

Dear all, Does this prg file for the gregory hansen test allow for the inclusion of exogenous variables (like dummies for crisis, for example)?

fmnadeem
Posts: 2
Joined: Wed Jan 28, 2015 8:33 am

Re: Gregory-Hansen Cointegration Test

Postby fmnadeem » Mon Dec 09, 2019 3:23 am

hafizah0486 wrote:Dear Mr. Trubador, thank you very much for sharing. Your post really help me in conducting my research. I really appreciate if you could also share on how to conduct the unit root test with break proposed by Narayan and Popp (2010) and Johansen, Mosconi & Nielsen (2000) cointegration test with break. You kind help is highly appreciated :)


Did you got Narayan and Popp (2010) code for eviews?

Riddhima
Posts: 1
Joined: Mon Dec 28, 2020 11:33 am

Re: Gregory-Hansen Cointegration Test

Postby Riddhima » Mon Dec 28, 2020 11:36 am

Hello,
Can someone please let me know how to modify the program code of gregory hansen cointegration to include my 2 break dates instead of it endogenously finding it ? I am able to do it for one break date , please let me know how to do it for two break dates.
Thank you

hedieh.77
Posts: 2
Joined: Sun Dec 03, 2023 11:39 pm

Re: Gregory-Hansen Cointegration Test

Postby hedieh.77 » Tue Dec 05, 2023 2:38 am

Reynaldo2007 wrote:Dear all, Does this prg file for the gregory hansen test allow for the inclusion of exogenous variables (like dummies for crisis, for example)?

hedieh.77
Posts: 2
Joined: Sun Dec 03, 2023 11:39 pm

Re: Gregory-Hansen Cointegration Test

Postby hedieh.77 » Fri Dec 08, 2023 4:50 am

hedieh.77 wrote:
Reynaldo2007 wrote:Dear all, Does this prg file for the gregory hansen test allow for the inclusion of exogenous variables (like dummies for crisis, for example)?


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