coint_maki

Purpose

Tests for cointegration with an unknown number of breaks.

Format

tst = coint_maki(y, m, model[, trimm, lagoption])
Parameters:
  • y (Nxk matrix) – Data to be tested.
  • m (Scalar) – Maximum number of breaks.
  • model (Scalar) –

    Model to be implemented.

    0 Level shift
    1 Level shift with trend
    2 Regime shift
    3 Regime shift with trend
  • trimm (Scalar) – Optional, trimming rate. Default = 0.10.
  • lagoption (Scalar.) –

    Optional, lag selection criteria. Default = 1.

    0 No lags
    1 T-stat criterion
Returns:

tst (Scalar) – Test statistic

Examples

/*
** This example program tests for cointegration
** with alternatives hypothesis up to m structural breaks
*/
new;
cls;
library tspdlib;

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


// Set the maximum number of breaks
m = 3;

/*
** Set the model
**   0: level shift
**   1: level shift with trend
**   2: regime shifts
**   3: Trend and Regime shifts
*/
model = 2;

// Perform test
call coint_maki(datap, m, model);

Source

coint_maki.src