SEGMCOINT: Stata module to provide tests for segmented cointegration (cointegration holding only over part of the sample)

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: segmcoint implements three complementary residual-based procedures that test the null of no cointegration over the whole sample against the alternative that a stable cointegrating relationship prevails over one or more subperiods, while breaking down (nonstationary error) over others. This situation - segmented cointegration - was introduced by Kim (2003) and explains why standard full-sample Engle-Granger / Phillips-Ouliaris tests often fail to confirm a well understood long-run relationship: a relatively short interval of nonstationary deviation can dominate the full-sample statistic and mask the relationship.

Language: Stata
Requires: Stata version 14
Keywords: cointegration; tests (search for similar items in EconPapers)
Date: 2026-07-27
Note: This module should be installed from within Stata by typing "ssc install segmcoint". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/s/segmcoint.ado
http://fmwww.bc.edu/repec/bocode/s/segmcoint.sthlp
http://fmwww.bc.edu/repec/bocode/s/segmcoint_dm.sthlp
http://fmwww.bc.edu/repec/bocode/s/segmcoint_example.do
http://fmwww.bc.edu/repec/bocode/s/segmcoint_kim.sthlp
http://fmwww.bc.edu/repec/bocode/s/segmcoint_methods.sthlp
http://fmwww.bc.edu/repec/bocode/s/segmcoint_mr.sthlp

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