Allan Gregory and Bruce E. Hansen
"Residual-based tests for cointegration in models with regime shifts"
Journal of Econometrics (1996)
Program and Data Files
This program replicates the empirical work reported in the above paper.
The program estimates a single equation cointegrating regression by least squares allowing for structural change of unknown time. The program performs residual-based cointegration tests on this model, and reports asymptotic p-values.
Gauss Programs and Data
Matlab Programs and Data
R Programs and Data
A STATA procedure "ghansen" has been written by Jorge Perez. To use, type "ssc install ghansen" in STATA.
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.