Category: Uncategorized

Running publicly available GAUSS code: Part 2

Hatemi code for cointegration with multiple structural breaks   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 [...]

A Simple Test for Structural Breaks in Variance

Introduction Though many standard econometric models assume that variance is constant, structural breaks in variance are well-documented, particularly in economic and finance data. If these changes are not accurately accounted for, they can hinder forecast inference measures, such as forecast variances and intervals. In this blog, we consider a tool that can be used to [...]

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