Maki Cointegration Test with Structural Breaks
Maki Cointegration Test with Structural Breaks
Get Critical Values for Maki Cointegration Test
Compute DF Tau Statistic
Detect One Structural Break
Detect Two Structural Breaks
Detect Second Break Before First Break
Detect Second Break After First Break
Determine Optimal Lag Using t-sig Criterion
Main Procedure for Maki Cointegration Test
Print Method for Maki Test Results
Implements the Maki (2012) <doi:10.1016/j.econmod.2012.05.006> cointegration test that allows for an unknown number of structural breaks. The test detects cointegration relationships in the presence of up to five structural breaks in the intercept and/or slope coefficients. Four different model specifications are supported: level shifts, level shifts with trend, regime shifts, and trend with regime shifts. The method is described in Maki (2012) "Tests for cointegration allowing for an unknown number of breaks" <doi:10.1016/j.econmod.2012.05.006>.
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