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

See also

Functions coint_egranger(), coint_ghansen(), coint_hatemij()