Thanks a lot Tom
Is there any way to get 10% critical values for the ghansen procedure?
Thanks
Search found 2 matches
- Wed Dec 23, 2015 9:04 am
- Forum: RATS Procedures
- Topic: GREGORYHANSEN—cointegration test with breaks
- Replies: 16
- Views: 44380
- Tue Dec 22, 2015 4:38 pm
- Forum: RATS Procedures
- Topic: GREGORYHANSEN—cointegration test with breaks
- Replies: 16
- Views: 44380
Gregory and Hansen critical values
Dear Rats users I am using the gregory and hansen cointegration test. When I use the following command I cannot get the critical values. Why is that? And how to get 10% critical values? @gregoryhansen(MODEL=TREND, method=BIC, LAGS=6, PI=0.20, BREAK = ALL, NOGRAPH) 1 186 # RERCOP DIFRIRCOP DIFIPICOP ...