COBREAKCOINT: Stata module to perform Quasi-Likelihood Ratio Tests for Cointegration, Cobreaking, and Cotrending

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: cobreakcoint implements quasi-likelihood ratio (QLR) tests for the joint analysis of cointegration, cobreaking, and cotrending in a bivariate or multivariate system of I(1) variables that may contain structural breaks in their deterministic components. In applied macroeconomics and finance, researchers often test whether two non-stationary (I(1)) variables share a long-run equilibrium (cointegration). However, many macroeconomic time series exhibit structural breaks — permanent shifts in their means or trends caused by policy changes, economic crises, or institutional reforms. Standard cointegration tests (e.g., Engle-Granger, Johansen) can produce misleading results when such breaks are present.

Language: Stata
Requires: Stata version 14
Keywords: cointegration; cobreaking; cotrending (search for similar items in EconPapers)
Date: 2026-04-19
Note: This module should be installed from within Stata by typing "ssc install cobreakcoint". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/c/cobreakcoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cobreakcoint.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_cobreakcoint_display.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_cobreakcoint_mata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_cobreakcoint_plot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cobreakcoint_example.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/u/USbudget.dta sample data file (application/x-stata)

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