MAKI: Stata module to implement Maki (2012) cointegration test with unknown number of breaks

H. Ozan Eruygur

Statistical Software Components from Boston College Department of Economics

Abstract: maki implements the Maki (2012) test for cointegration allowing for up to five unknown structural breaks. Four specifications are supported (level shift, level shift with trend, regime shift, and regime shift with trend), with critical values from Maki (2012) for up to four regressors. Four ADF lag-selection rules are available (no augmentation, a downward-t significance rule, a Breusch-Godfrey test based selection, and a fixed lag). The code estimates the cointegrating regression, and the required dummy variables are automatically generated and added to the dataset. maki is a Stata/Mata port of the original Gauss procedure coint_maki, which was provided by Daiki Maki himself, modified by Jason Jones (Aptech Systems), and distributed in the TSPDLIB library of Saban Nazlioglu. The package was validated against this Gauss procedure.

Language: Stata
Requires: Stata version 14
Keywords: structural breaks; Maki (search for similar items in EconPapers)
Date: 2026-06-27
Note: This module should be installed from within Stata by typing "ssc install maki". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/maki.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/maki.sthlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459770

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().