Time Series with Structural Break

[Simran Agarwal]

I have time series data with 8 explanatory variables. I need to perform cointegration with a structural break. How can I proceed? Can anyone help me with the codes for the same?

[Simran Agarwal]

Can we perform VECM for showing a long-run relationship after performing the Gregory Hansen cointegration test for a structural break?

[Simran Agarwal]

I have a doubt. I have 8 explanatory variables and 30 data points( 30 years of annual data). Which method will be best suited for cointegration?

[FELICITY FORD]

Can we perform VECM for showing a long-run relationship after performing the Gregory Hansen cointegration test for a structural break?

Its ok