COINT (version 0.0.2)

GHansen: Gregory-Hansen Test for Cointegration in Models with Regime Shifts

Description

Conduct the cointegration analysis with regime shifts, proposed by Gregory-Hansen (1996A).

Usage

GHansen(y, x, model,trim=0.1, use=c("nw","ba"))

Value

result

Comprehensive results of three tests.

teststat

Time series of three sequential tests.

test.reg.adf

Final regression output for ADF test.

test.reg.za

Final regression output for Za test.

test.reg.zt

Final regression output for Zt test.

Arguments

y

The data of dependent variable in a regression.

x

The data of independent variables in a regression.

model

Models for the structural breaks:
1 = C (level shift);
2 = C/T (level shift with trend);
3 = C/S (regime shift);
4 = regime and trend shift.

trim

The trimming percentage. Default is 10 percent.

use

Conditions for pp test for the nonstationarity of regression residuals.

Author

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Details

This function calculates three residual-based test for cointegration with regime shifts: ADF, and Za, Zt of pp. Argument use is detailed by the example of pp documentation.

References

Gregory, A.W. and Hansen, B. E. (1996A) Residual-based tests for cointegration in models with regime shifts.Journal of Econometrics, 70, 99-126.
Gregory, A.W. and Hansen, B. E.(1996B). Tests for Cointegration in Models with Regime and Trend Shifts. Oxford Bulletin Economics and Statistics, 58(3), 555-560.

Examples

data(macro)
y=macro[1:300,1]
x=macro[1:300,-1]
output=GHansen(y,x,model=1, use=c("nw","ba"))
output$result
summary(output$test.reg.adf)
head(output$teststat)

#Plotting

test.name=rownames(output$result)[1]
stat=output$teststat[,test.name]
CV=output$result[test.name,1:3]
bpoint=output$result[test.name,5]
main=paste(paste(unlist(strsplit(test.name,"_")),collapse = " "),"test")

plot(stat,main=main,ylab="",xlab="",ylim=range(c(max(stat)+3,min(stat)-1,CV)));grid()
  abline(h=CV[1],col="red")
  abline(h=CV[2],col="blue")
  abline(h=CV[3],col="seagreen")
  abline(v=as.POSIXct(time(y)[bpoint]),col="orange",lty=2)

#  legend(x=as.POSIXct("2010-01-01"), y=max(stat)+3, legend=c("1% cv" , "5% cv", "10% cv"),
#         col=c("red", "blue", "seagreen"),xjust=1, yjust=1, lty=1,
#         horiz=TRUE, cex=0.66, bty="n")



#plot(y,main=colnames(y),ylab="",xlab="");grid()
#abline(v=time(y[output$bpoint,]),col="orange",lty=2)