coint_hatemij

Purpose

Tests for cointegration with two regime shifts.

Format

{ ADF_min, TB1adf, TB2adf, Zt_min, TB1zt, TB2zt, Za_min, TB1za, TB2za, cvADFZt, cvZa } = coint_hatemiJ(y, x[, model, bwl, ic, pmax, varm, trimm])
Parameters:
  • y (Nx1 matrix) – Dependent variable.
  • x (NxK matrix) – Independent variable.
  • model (Scalar) –

    Optional, model to be implemented. Default = 3.

    3 C/S (regime shift)
  • bwl (Scalar) – Optional, bandwidth length for long-run variance computation. Default = round(4 * (T/100)^(2/9)).
  • ic (Scalar) – Optional, the information criterion used for choosing lags. Default = 3.
  • pmax (Scalar) – Optional, maximum number of lags for \(\delta y\) in ADF test. Default = 8.
  • varm (Scalar) –

    Optional, long-run consistent variance estimation method. Default = 1.

    1 iid.
    2 Bartlett.
    3 Quadratic Spectral (QS).
    4 SPC with Bartlett (Sul, Phillips & Choi, 2005)
    5 SPC with QS
    6 Kurozumi with Bartlett
    7 Kurozumi with QS
  • trimm (Scalar) – Optional, trimming rate. Default = 0.10.
Returns:
  • ADFmin (Scalar) – ADF test statistic
  • TB1adf (Scalar) – First break point using ADF statistic.
  • TB2adf (Scalar) – Second break point using ADF statistic.
  • Ztmin (Scalar) – Zt test statistic
  • TB1zt (Scalar) – Break point using Zt statistic.
  • TB2zt (Scalar) – Break point using Zt statistic.
  • Zamin (Scalar) – Za test statistic
  • TB1za (Scalar) – First break point for using Za statistic.
  • TB2adf – Second break point using Za statistic.
  • cvADFZt (Scalar) – 1%, 5%, 10% critical values for ADF and Zt test statistics.
  • cvZa (Scalar) – 1%, 5%, 10% critical values for Za test statistics.

Examples

new;
cls;
library tspdlib;

// Load dataset
data = loadd(__FILE_DIR $+ "ts_coint.csv",
                          "Y1 + Y2 + Y3 + Y4 + date($Date, '%b-%y')");



// Define y and x matrix
y = data[., 1];
x = data[., 2:cols(data)];

T = rows(data);

// Two breaks
{ADF_min, TB1adf, TB2adf, Zt_min, TB1zt, TB2zt, Za_min, TB1za, TB2za, cvADFZt, cvZa } =
    coint_hatemiJ(y, x);

Source

coint_hatemij.src