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cointegration with regime shift

asked 2011-11-11 13:01:06 +0000

Jack gravatar image

Is there an example to test cointegration with regime shift using Shazam? many thanks for your help..

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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.

Pantera gravatar imagePantera ( 2011-12-01 08:50:50 +0000 )edit

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answered 2011-12-01 08:52:44 +0000

Pantera gravatar image

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.

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Asked: 2011-11-11 13:01:06 +0000

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Last updated: Dec 01 '11