HATEMIJ: Stata module to perform Hatemi-J cointegration test with two unknown breaks

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: hatemij implements the Hatemi-J (2008) test for cointegration with two unknown breaks, computing the three statistics ADF*, Zt*, and Za*. Three specifications are supported (level shift, level shift with trend, and regime shift), with critical values from Hatemi-J (2008) for up to four regressors. Six ADF lag-selection rules are available (fixed, AIC, BIC, downward-t with a 1.96 or 1.645 cutoff, and a Breusch-Godfrey test based selection), together with three long-run-variance kernels (iid, Bartlett, Quadratic-Spectral). The cointegrating regression with breaks can be estimated by the code. The package was validated against Hatemi-J's own Gauss code (coint2b) and the tspdlib Gauss library of Saban Nazlioglu.

Language: Stata
Requires: Stata version 14
Keywords: cointegration; structural breaks (search for similar items in EconPapers)
Date: 2026-06-25
Note: This module should be installed from within Stata by typing "ssc install hatemij". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/h/hatemij.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hatemij.sthlp help file (text/plain)

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