HATEMICOINT: Stata module to implement cointegration tests with two unknown regime shifts following the methodology of Hatemi-J (2008)

Merwan Roudane ()
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Merwan Roudane: NA

Statistical Software Components from Boston College Department of Economics

Abstract: The hatemicoint package implements three residual-based tests for cointegration in the presence of two unknown structural breaks. The methodology extends the Gregory and Hansen (1996) framework to accommodate two regime shifts, where both the timing and location of the breaks are determined endogenously from the data.

Language: Stata
Requires: Stata version 14
Keywords: unit root tests; structural breaks (search for similar items in EconPapers)
Date: 2026-02-06
Note: This module should be installed from within Stata by typing "ssc install hatemicoint". 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/h/hatemicoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hatemicoint.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hatemicoint_examples.do sample do-file (text/plain)

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