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GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks

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  • Tom Doan

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    (Estima)

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Abstract

Implements the Gregory-Hansen cointegration test. The cointegrating regression is allowed to have a trend or not, and can have either a break in the intercept only or a break in all coefficients. Gregory and Hansen(1996), "Residual-based Tests for Cointegration in Models with Regime Shifts", Journal of Econometrics, vol 70, 99-126. Gregory and Hansen(1996), "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, vol. 58, no 3, pp 555-560.

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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00082.

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Programming language: RATS
Requires: RATS 7.30
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Handle: RePEc:boc:bocode:rts00082

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Keywords: Cointegration test with breaks;

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