方法证据记录
Hatemi-J Cointegration Test
The Hatemi-J cointegration test, introduced by Abdulnasser Hatemi-J in 2008, tests for a long-run equilibrium relationship between integrated time series while allowing for up to two unknown structural breaks in the cointegrating vector. It extends earlier single-break approaches by permitting both the intercept and slope coefficients of the cointegrating regression to shift at two endogenously determined breakpoints, making it particularly suited for economic and financial data spanning periods of major institutional or policy change.
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Hatemi-J Cointegration Test with Two Regime Shifts
分类方法记录 · hypothesis-test / econometrics
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