Structural breaks, unit root and cointegration tests

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sakamuk
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Joined: Tue Jun 03, 2014 7:46 am

Structural breaks, unit root and cointegration tests

Postby sakamuk » Wed Jul 23, 2014 7:56 pm

I am a new user of Eviews 7 and 8 and I am performing some time series analysis. I am doing a study on causality of Australia and other world equity indices. I want to perform the unit root tests, check for cointegration and subsequently check for granger causality. I performed the Bai Perron test and they indicate that the series ranging from 1990 to 2014 has 5 structural breaks. I used the methodology recommended on the Eviews 8 website.

As there is no unit root test for more than 2 tests that I have seen in literature :shock: . I have settled for the use of the Lee Strazicich test. Can this be carried out in Eviews? I have only seen a Zivot Andrews add in, After the Lee strazicich test I want to perform cointegration tests using the method proposed by Hatemi. I can't find this on eviews. :( Is there a plugin to perform it or do I have to write a program for all these tests?

Please help. Any suggestions or advise is welcome

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