Gregory hansen interpretation
Posted: Sun Nov 07, 2010 2:39 pm
by jjaa
Hi,
I have just run the GH cointegration test but I realley do not understand what i got. could please someone help me? which is the null hypothesis? what is the distribution that it uses?. Please heelp me
Thank you in advance
Re: Gregory hansen interpretation
Posted: Wed Nov 10, 2010 12:53 am
by trubador
The same advice applies here as well...
Re: Gregory hansen interpretation
Posted: Wed Apr 25, 2012 2:16 am
by kakali
Dear Mr. Tribadator,
I don't know E-views programming. I have been running the Greg-Hansen code which you wrote , have been facing the following problem.
Type Mismatch at Argument 2 in "Call GREGHANSEN (y, x, 3, "AIC", 6)
I am attaching here the prog file and data file.
Your quick response will be appreciated.
Regards,
-Kakali.
Re: Gregory hansen interpretation
Posted: Wed Apr 25, 2012 2:39 am
by trubador
It is not clear what you are asking for here or what you are trying to achieve. If you are trying to build a cointegration model among Gold, NYSE and CPI then you should first decide your dependent (Y) variable. And then you should group other variables as independents (X). For instance:
Code: Select all
group independents
independents.add nyse cpi
call greghansen(gold,independents,3,"aic",6)