GHANSEN: Stata module to perform Gregory-Hansen test for cointegration with regime shifts

Jorge Pérez Pérez

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 9.2
Keywords: Gregory-Hansen test; cointegration; structural breaks (search for similar items in EconPapers)
Date: 2011-09-01, Revised 2013-09-30
Note: This module should be installed from within Stata by typing "ssc install ghansen". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (2)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/g/ghansen.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/ghansen.hlp help file (text/plain)

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