IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/p00002.html
 

PMCT2ES: Python Module for Cointegration Tests with Two Endogenous Structural Shifts

Author

Listed:
  • Alan Mustafa

    (IEEE)

  • Abdulnasser Hatemi-J

    (UAE University)

Programming Language

Python

Abstract

This Python module conducts Hatemi-J (2008) cointegration tests with two unknown regime shifts. The timing of each regime shift is determined endogenously. The module is consumer-friendly via a Graphical User Interface (GUI) using Spyder platform, and it estimates the cointegrating vector along with the shifts. For technical aspects see Hatemi-J A. (2008) “Tests for cointegration with two unknown regime shifts with an application to financial market integration”, Empirical Economics, 35(3), 497-505.

Suggested Citation

  • Alan Mustafa & Abdulnasser Hatemi-J, 2022. "PMCT2ES: Python Module for Cointegration Tests with Two Endogenous Structural Shifts," Statistical Software Components P00002, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:p00002
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/p/PMCT2ES.txt
    File Function: program code
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:p00002. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.