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VECM model in case of structural breaks (Bid less than 60$)

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

Habilidades: Matlab and Mathematica, Python, Linguagem de Programação R, Análise estatística, Estatísticas

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Acerca do Empregador:
( 28 comentários ) new york, United States

ID do Projeto: #19010646

9 freelancers estão ofertando em média $71 para esse trabalho

hireonweb

can do using e views and R I have a team of 10 people and all Ph.D. holders in Engineering, Computer Science, Humanities like Sociology, Psychology, Physics, Chemistry, Project Management, Information Technology etc. Mais

$50 USD em 1 dia
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Freelancersedo

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$60 USD in 3 dias
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Galata16

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mohamedaithmida

Hello sir ! We are a group of expert, each with a master's degree in economics and statistics , we have a good experience and brilliant skills in Time Series Analysis and regression, using R Programming Language, evi Mais

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Seraj36

Hello sir ! I Can guide you how to do the VECM procedure in eviews I have a Masters degree in Economics and Statistics with 5 years of professional experience working as a Quan Mais

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BestService222

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$155 USD in 3 dias
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Lgnn

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, Mais

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