A small doubt related to Vector error Correction Model.
I have four macroeconomic variables from 1990-2018, where all 4 four variables have different multiple structural breaks during their history (for e.g during recession and some other dates).
I would like to do a cointegration test and due to presence of these structural breaks in these series, normal Johansen test results would be incorrect. There is also Gregory-Hansen test but I believe that is for one structural break only.
I have come across this blog by David Giles, which develops a methodology for doing cointegration tests, but again this is for only one structural break I believe :
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Can anyone guide me how to do the VECM procedure in case of structural breaks of variables in r, python, eviews or stata in this scenario
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Hey, I hold an MA in economics, specialty applied econometrics and macroeconomics. I'd like to help with the project, if you're interested. I've been using the VECM for cointegration analysis and forecasting purposes, Mai multe