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  1. www.youtube.com › watchStructural Break: Gregory-Hansen Cointegration Test in Eviews

    Feb 22, 2019 · Cointegration with Breakpoints This video presents a useful guide on how to implement the Gregory-Hansen structural break Cointegration test using Eviews.

    • 8 min
    • 9.9K
    • ViData Solutions

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  3. www.aptech.com › blog › a-guide-to-conducting-coA Guide to Conducting Cointegration Tests | Aptech

    • What Is cointegration?
    • What Is The Error Correction Model?
    • Preparing For Cointegration Tests
    • Cointegration Tests
    • Cointegration Test with Structural Breaks
    • Where to Find Cointegration Tests For Gauss
    • How to Test For Cointegration Using Gauss
    • Conclusion

    Economic theory suggests that many time series datasets will move together, fluctuating around a long-run equilibrium. In econometrics and statistics, this long-run equilibrium is tested and measured using the concept of cointegration. Cointegration occurs when two or more nonstationary time series: 1. Have a long-run equilibrium. 2. Move together ...

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    Cointegration implies that time series will be connecting through an error correction model. The error correction model is important in time series analysis because it allows us to better understand long-run dynamics. Additionally, failing to properly model cointegrated variables can result in biased estimates. The error correction model: 1. Reflec...

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    Before jumping directly to cointegration testing, there are a number of other time series modeling steps that we should consider first.

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    In order to test for cointegration, we must test that a long-run equilibrium exists for a group of data. There are a number of things that need to be considered: 1. Are there multiple cointegrating vectors or just one? 2. Is the cointegrating vector known or does it need to be estimated? 3. What deterministic components are included in the cointegr...

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    In the case that there are structural breaks in the cointegrating relationship, the cointegration tests in the previous station should not be used. In this section we look at three tests for cointegration with structural breaks: 1. The Gregory and Hansen (1996)test for cointegration with a single structural break. 2. The Hatemi-J test (2009)for coi...

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    GAUSS tools for performing cointegration tests and estimating VECM models are available in a number of libraries, including the Time Series MT (TSMT) library, TSPDLIB, and the coint libraries. All of these can be directly located and installed using the GAUSS package manager.

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    In this section, we will test for cointegration between monthly gold and silver prices, using historic monthly price date starting in 1915. Specifically, we will work through several stages of analysis: 1. Graphing the data and checking deterministic behavior. 2. Testing each series for unit roots. 3. Testing for cointegration without structural br...

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    Congratulations! You now have an established guide for cointegration and the background you need to perform cointegration testing. In particular, today's blog covered: 1. The fundamentals of cointegration. 2. The error correction model. 3. How to prepare for cointegration testing. 4. What cointegration tests to use with and without structural break...

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  4. www.sciencedirect.com › science › articleResidual-based tests for cointegration in models with regime ...

    Jan 1, 1996 · Our results 102 A.W. Gregory, B.E. Hansen / Journal of Econometrics 70 (1996) 99-126 are consistent with those of Gregory and Nason (1992), who found some evidence of instability in the long-run relationship.

    • Allan W. Gregory, Bruce E. Hansen, Bruce E. Hansen
    • 1996

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    • Get to Know the Faculty: Dr. Gregory Hansen
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  6. www.youtube.com › watchGregory Hansen test for cointegration With Eviews 13 - YouTube

    Gregory-Hansen test for cointegration With Eviews 13Gregory-Hansen test for cointegration Eviews 13.

    • 14 min
    • 811
    • Timbul Widodo

  7. www.youtube.com › watch(Stata13):Gregory-Hansen Cointegration Test Structural Break ...

    Apr 2, 2018 · The Gregory-Hansen cointegration test is used to test for cointegration in the presence of break points or structural changes in a model.

    • 13 min
    • 19.4K
    • CrunchEconometrix

  8. www.researchgate.net › publication › 351496173Gregory Hansen-cointegration with break code in Stata

    May 11, 2021 · Gregory Hansen-cointegration with break code in Stata. May 2021. DOI: 10.13140/RG.2.2.19164.10888. Languages: english. Authors: Mohamed Nachid Boussiala. Algiers University. Abstract....

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  10. rdrr.io › github › d9d6kacoint.test.GH: Gregory-Hansen test for the absense of ...

    May 4, 2024 · Gregory and Hansen (1996) test for the null hypothesis of no cointegration under a possible structural break at the unknown moment of time. The authors proposed ADF- and Z-type tests, slightly modified to allow the presence of a possible regime shift.