cointegration with structural breaks

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john1990
Posts: 7
Joined: Fri Apr 01, 2016 1:54 am

cointegration with structural breaks

Postby john1990 » Tue Apr 19, 2016 6:58 am

I want to test for possible cointegration with structural break using Johansen`s test , but how can i add restrictions of the level shift or change of the trend in the model??
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dakila
Posts: 489
Joined: Tue Nov 24, 2015 4:57 pm

Re: cointegration with structural breaks

Postby dakila » Tue Apr 19, 2016 3:52 pm

http://davegiles.blogspot.com.au/2011/0 ... -hips.html
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john1990
Posts: 7
Joined: Fri Apr 01, 2016 1:54 am

Re: cointegration with structural breaks

Postby john1990 » Wed Apr 20, 2016 12:24 am

Thanks, it was very useful!
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