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

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Listed:
  • Tom Doan

    () (Estima)

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.

Suggested Citation

  • Tom Doan, "undated". "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00082 Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    Keywords

    Cointegration test with breaks;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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