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- Mon Jul 13, 2009 8:24 am
- Forum: Other Time Series Analysis
- Topic: Testing cointegration with two unknown regime shifts
- Replies: 1
- Views: 7087
Testing cointegration with two unknown regime shifts
Hi, I would like to test cointegration with two unknow regime shifts, as Abdulnasser Hatemi-J(2008) "Testing cointegration with two unknown regime shifts with an application to financial market integration". RATS has the source for Gregoryhansen tests which allows for one unknown regime sh...