coint_maki#

Purpose#

Computes the test of the null hypothesis of no cointegration against the alternative of 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
*/
library tspdlib;

// Load dataset
data = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_coint.csv",
                          ". + date($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