Cointegration with two breaks, paper and Gauss program

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Cointegration with two breaks: paper and Gauss program.

Abdulnasser Hatemi-J, Tests for cointegration with two unknown regime shifts

with an application to financial market integration, Empirical Economics (2008) 35:497–505. 2008paper.pdf (104.71 KB, 需要: 2 个论坛币)

2013-8-23 23:32:43 上传

2008 Paper
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GAUSS program to implement the test in the above paper. coint_2breaks.txt (9.8 KB, 需要: 2 个论坛币)

2013-8-23 23:32:45 上传

GAUSS program
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关键词：Integration Program breaks ration break cointegration breaks GAUSS

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