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

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

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.

Language: RATS
Requires: RATS 7.30
Keywords: Cointegration; test; with; breaks (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://www.estima.com/procs_perl/gregoryhansen.src (text/plain)

Related works:
Journal Article: Tests for Cointegration in Models with Regime and Trend Shifts (1996)
Journal Article: Residual-based tests for cointegration in models with regime shifts (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00082

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