Timeline for Johansen cointegration test with structural change in the intercept
Current License: CC BY-SA 3.0
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| Apr 26, 2015 at 23:50 | comment | added | albert | Dan, thanks for answering, you are very kind. Your reply has helped me clarify my doubt and know how to proceed. Right now, I'm trying to simulate the asymptotic distribution of the test for cointegration rank by the DisCo program (I think that was developed by Bent Nielsen, but i´m not sure). Although this is proving me a bit difficult since I am a beginner in this. I'll try to get CATS in RATS programs to see how it suits me, but this is difficult where I come from. Thanks again for your response. | |
| Apr 26, 2015 at 15:26 | history | answered | Plissken | CC BY-SA 3.0 |