CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks

Abdulnasser Hatemi-J

Statistical Software Components from Boston College Department of Economics

Abstract: This GAUSS module implements tests for cointegration with two unknown structural breaks. The tests are developed by (Hatemi-J 2008, Empirical Economics). The timing of structural break is determined by the underlying data. For critical values see the published paper. The module provides also the estimated cointegrating parameters with the breaks.

Language: GAUSS
Requires: GAUSS
Keywords: Cointegration; Structural Breaks (search for similar items in EconPapers)
Date: 2009-11-14
References: Add references at CitEc
Citations: View citations in EconPapers (3)

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http://fmwww.bc.edu/repec/bocode/c/CItest2b.prg program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/CItest2bDescription.txt documentation (text/plain)

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