Gregory-Hansen and Threshold Cointegration
Posted: Sun Aug 28, 2016 12:50 am
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.
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.