GHANSEN: Stata module to perform Gregory-Hansen test for cointegration with regime shifts
Abstractghansen performs the Gregory-Hansen test for cointegration with regime shifts (structural breaks) proposed in Gregory and Hansen (1996) The test's null hypothesis is no cointegration against the alternative of cointegration with a single shift at an unknown point in time.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S457327.
Programming language: Stata
Requires: Stata version 9.2
Date of creation: 01 Sep 2011
Date of revision: 30 Sep 2013
Note: This module should be installed from within Stata by typing "ssc install ghansen". Windows users should not attempt to download these files with a web browser.
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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