Gregory-Hansen and Threshold Cointegration

[Kahn]

Hello,

I have used the Johansen multivariate cointegration test to see whether a group of ten stock markets are cointegrated. However, I was wondering whether it would be possible to use the Gregory-Hansen and Enders-Siklos tests for structural-breaks and threshold adjustment on the entire system or whether they can only be used in a pairwise manner?

Any help is appreciated.

[dakila]

Yes, it is possible. Just try it