cointegration | Aptech

May 26 by Eric Posted in Time Series

How to Interpret Cointegration Test Results

In this blog, we will explore how to set up and interpret cointegration results using a real-world time series example. We will cover the case with no structural breaks as well as the case with one unknown structural break using tools from the GAUSS tspdlib library.

Tagged in cointegration, unit root

Jan 28 by Eric Posted in Econometrics, Time Series

A Guide to Conducting Cointegration Tests

Cointegration is an important tool for modeling the long-run relationships in time series data. If you work with time series data, you will likely find yourself needing to use cointegration at some point. This blog provides an in-depth introduction to cointegration and will cover all the nuts and bolts you need to get started.

Tagged in cointegration, error correction model, time series

Feb 08 by aptech Posted in Econometrics, Programming, Video

Running publicly available GAUSS code: Part 2

This week’s blog brings you the second video in the series examining running publicly available GAUSS code. This video runs the popular code by Hatemi-J for testing cointegration with multiple structural breaks. In this video you will learn how to:

Substitute your own dataset.
Modify the indexing commands for your data.
Remove missing values.
Preview your data after loading with the Ctrl+E keyboard shortcut.

Tagged in cointegration, structural breaks

Tag: cointegration

How to Interpret Cointegration Test Results

A Guide to Conducting Cointegration Tests

Running publicly available GAUSS code: Part 2

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