Gregory-Hansen cointegration test

[tomaschris]

Dear all,

I am completely new user in Eviews and i couldn't manage to run the program ! can u please help me ?

The program starts like this :


'Gregory-Hansen Cointegration Test
'Reference: Gregory, A. W. and Hansen, B. E. (1996). "Residual-Based Tests for Cointegration in Models with Regime Shifts", Journal of Econometrics, Vol. 70, pp. 99-126.

call greghansen(y,x,2,"aic",6)

' ----------------------------------------------------------------------------------------------------
' Arguments
'-----------------------------------------------------------------------------------------------------
'series Y ' dependent variable
'group G ' group of independent variable(s) (including single series)
'scalar Model ' 2 = Level Shift, 3 = Level Shift with Trend, 4 = Regime Shift
'scalar Maxlag ' Maximum number of lags for unit root testing
'string %Criterion ' Selection criteria for unit root testing (i.e. aic / sic / hqc)
' ----------------------------------------------------------------------------------------------------

Where should i insert the variable names in order to run it ?

thanks in advance ,

Thomas

[EViews Gareth]

Change "y" and "x" in the call statement to be the names of your variables.

[Niyati]

Dears,
i am facing same problem pointed out by kakali quoted as follows.
"The Za test statistics I have obtained seem to be to low to be true, also does not seem to be correct as the formula of the test statistic shows that it has a multiplier of n (sample size), so it is unlikely that the values will be <1.

Also, the crtical values that Bruce obtained has three values corresponding to 3 models, however, while running the code I get same results for all three models."

My issue also with the same output across three models for Za statistics. With Please help me out.

Dear Trubador,

Please advise if the values received for Za test...needs to be multiplied by 100. The test statistics I have obtained seem to be to low to be true, also does not seem to be correct as the formula of the test statistic shows that it has a multiplier of n (sample size), so it is unlikely that the values will be <1.

Also, the crtical values that Bruce obtained has three values corresponding to 3 models, however, while running the code I get same results for all three models.

I attach here the test results.

Please advise?

Thanking you for your help in advance.