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

Alan Mustafa and Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

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.

Language: Python
Requires: Python
Keywords: portfolio analysis; diversification; optimization (search for similar items in EconPapers)
Date: 2022-08-31
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