cointegration with regime shift
Is there an example to test cointegration with regime shift using Shazam? many thanks for your help..
Is there an example to test cointegration with regime shift using Shazam? many thanks for your help..
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.
Asked: 2011-11-11 13:01:06 +0000
Seen: 448 times
Last updated: Dec 01 '11
Copyright SHAZAM Analytics, 2015 Content on this site is licensed under a Creative Commons Attribution Share Alike 3.0 license.
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.