Gregory-Hansen test

[janni]

Hi all,

I have conducted a Gregory-Hansen test with model C as in Gregory and Hansen (1996) as alternative for interest rate maturity pairs to identify cointegration.
Although I can identify the smallest ADF* statistic, but there are several drops in the ADF* statistics. (If one plots the ADF* statistic and looks for the minimum, it looks like the minimum is not well defined..)

My thought on the issue was that interest rate with certain maturities reacts more sensitive to policy measures than others...But looking at other plots of the ADF* statistic there is a well-defined minimum...So my view is not solid...

What do u think?


thanks and best regards