Bruce E. Hansen
"Tests for parameter instability in regressions with I(1) Processes."
Journal of Business and Economic Statistics (1992).

Program and Data Files

This program replicates the empirical work reported in the above paper.

It performs fully modified least squares (FM-OLS) estimation of cointegrating regressions using an automatic bandwidth.

The program also tests for constancy of the cointegrating regressions using the tests described in the above paper.

Gauss Programs and Data

Matlab Programs and Data

R Programs and Data

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.