SHAZAM Community
Ask Your Question

Revision history [back]

click to hide/show revision 1
initial version

Hi Jack - I have not seen any coint. analyses w/ regime shift using Shazam. However, I suggest you (1) check for I(1)-variables in each of the regimes and (2) if you identify I(1)-variables, you estimate an ECM where you integrate a dummy variable for the regime shift. Regards, P.