结构突变的协整怎么做呢?

你重新排一下发啦，这个要运行代码的，麻烦啊。

Perron最近几年在JOE上也连续发了好几篇关于结构断点的文章，我稍后也会把这些文章传到这个帖子上来，希望大家能多多讨论。

Hao, K., “Testing for Structural Change in Cointegrated Regression Models: some
Comparisons and Generalisations,” Econometric Reviews, 1996, (15, 4), 401–429.

Johansen, S., “Statistical Analysis of Cointegration Vectors,” Journal of Economic
Dynamics and Control, 1988, (12), 231–254.

and S. Ouliaris, “Asymptotic Properties of Residual Based Tests for Cointegration,”
Econometrica, 1990, (58), 165–193.

Hao, K., “Testing for Structural Change in Cointegrated Regression Models: some
Comparisons and Generalisations,” Econometric Reviews, 1996, (15, 4), 401–429.

请找下这几个文章。

谁有这几篇文章的，可以传来看看啊。

谁有这篇文章，请发帖

Title: Monte Carlo tests of cointegration with structural breaks
Author(s): Ralf ?stermark, Rune H?glund
Journal: Kybernetes
ISSN: 0368-492X
Year: Dec 2000 Volume: 29 Issue: 9/10 Page: 1284 - 1297
DOI: 10.1108/03684920010346347
Publisher: MCB UP Ltd
Abstract: The power and size of five cointegration tests, the ADF-, Z^a-, ECM-, SW-, and JJ-statistics, are evaluated in some large-scale Monte Carlo simulations, when the underlying system is subjected to regime shifts. Following the suggestion by Gregory and Hansen, selects the minimum value for the shift-corrected statistics evaluated over a set of tentative break points for the regime shifts. The performance of these statistics is compared to the corresponding ordinary statistics in conditions of regime shifts. The results show that no test uniformly outperforms the others in terms of power in the parameter space we have used.

141005.pdf (311.19 KB)

2007-7-25 11:29:00 上传

结构突变的协整怎么怎么做呢?

谢谢楼主

Numerical Distribution Functions of
Likelihood Ratio Tests for Cointegration
by
James G. MacKinnon

Summary
This paper employs response surface regressions based on simulation experiments to
calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests
for cointegration. These are carried out in the context of the models recently proposed
by Pesaran, Shin, and Smith (1997) that allow for the possibility of exogenous variables
integrated of order one. The paper calculates critical values that are very much more
accurate than those available previously. The principal contributions of the paper are
a set of data files that contain estimated asymptotic quantiles obtained from response
surface estimation and a computer program for utilizing them. This program, which
is freely available via the Internet, can be used to calculate both asymptotic critical
values and P values.
JEL Classification Number: C22
Keywords: cointegration tests, Johansen tests, vector autoregressions,
exogenous variables, response surfaces, critical values, approximate
P values, simulation

141837.pdf (171.5 KB)

2007-7-27 13:55:00 上传

结构突变的协整怎么怎么做呢?

好！谢谢，学习一下！！

******** ADF Test ***********
t-statistic = -4.5918447
AR lag = 6.0000000
break point(ADF) = 0.54687500

******** Phillips Test ********
Zt = -5.8587021
breakpoint(Zt) = 0.50781250
Za = -54.644997
breakpoint(Za) = 0.50781250

这是Bruce E. Hansen程序计算结果，他的文章中画了个图，可以看出断点在哪里。但他的程序没有画图，是根据断点处的t值判断吗？断点怎么会有t值了？邹检验是2个F值啊。请网友指点。

请问在gauss里面.fmt数据格式放哪里？怎么写导入数据。

This program file loads the GAUSS dataset "invest.fmt".
It creates the output file "thresh.out"

*/

load invest;
t = 15;
nt = rows(invest);
n = nt/t;

i = invest[.,1]; @ investment/assets @
q = invest[.,2]; @ Tobin's Q @
c = invest[.,3]; @ cash-flow/assets @
d = invest[.,4]; @ debt/assets @