GHANSEN: Stata module to perform Gregory-Hansen test for cointegration with regime shifts
ghansen 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.
|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.|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
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|Order Information:||Web: http://repec.org/docs/ssc.php|
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