COINTSMALL: Stata module to test for cointegration with structural changes in very small sample

Merwan Roudane ()
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Merwan Roudane: NA

Statistical Software Components from Boston College Department of Economics

Abstract: The cointsmall package implements a cointegration testing procedure that extends the Gregory and Hansen (1996) framework to the case of very small sample sizes (T

Language: Stata
Requires: Stata version 14
Keywords: cointegration; structural change; sample size (search for similar items in EconPapers)
Date: 2026-02-09
Note: This module should be installed from within Stata by typing "ssc install cointsmall". 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/cointsmall.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cointsmall.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_cointsmall_crit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cointsmall_examples.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cointsmall_cert.do cert script (text/plain)

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