SHAZAM Questions and Answers (Q&A) - RSS feedhttp://community.econometrics.com/questions/SHAZAM Econometrics, Statistics and Analytics Communityen<font color="white">Copyright <b>SHAZAM Analytics, 2018</b></font>Thu, 01 Dec 2011 08:52:44 +0000cointegration with regime shifthttp://community.econometrics.com/question/228/cointegration-with-regime-shift/Is there an example to test cointegration with regime shift using Shazam?
many thanks for your help..Fri, 11 Nov 2011 13:01:06 +0000http://community.econometrics.com/question/228/cointegration-with-regime-shift/Comment by Pantera for <p>Is there an example to test cointegration with regime shift using Shazam?
many thanks for your help..</p>
http://community.econometrics.com/question/228/cointegration-with-regime-shift/?comment=369#post-id-369Hi 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.Thu, 01 Dec 2011 08:50:50 +0000http://community.econometrics.com/question/228/cointegration-with-regime-shift/?comment=369#post-id-369Answer by Pantera for <p>Is there an example to test cointegration with regime shift using Shazam?
many thanks for your help..</p>
http://community.econometrics.com/question/228/cointegration-with-regime-shift/?answer=316#post-id-316Hi 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.Thu, 01 Dec 2011 08:52:44 +0000http://community.econometrics.com/question/228/cointegration-with-regime-shift/?answer=316#post-id-316