cv_coint_maki

Returns critical values for the Maki cointegration test based on 
Maki (2012) Table 1.

Implements the Maki (2012) <doi:10.1016/j.econmod.2012.05.006>
cointegration test that allows for an unknown number of structural breaks.
The test detects cointegration relationships in the presence of up to five
structural breaks in the intercept and/or slope coefficients. Four different
model specifications are supported: level shifts, level shifts with trend,
regime shifts, and trend with regime shifts. The method is described in
Maki (2012) "Tests for cointegration allowing for an unknown number of
breaks" <doi:10.1016/j.econmod.2012.05.006>.

Merwan Roudane

makicoint

Maki Cointegration Test with Structural Breaks

cv_coint_maki function

<dl><dt>n</dt>
<dd>Sample size (currently not used as values are asymptotic).</dd>
<dt>m</dt>
<dd>Number of breaks (0-5).</dd>
<dt>model</dt>
<dd>Model specification (0-3):<ul>
<li>0: Level shift</li>
<li>1: Level shift with trend</li>
<li>2: Regime shift</li>
<li>3: Trend and regime shift</li>
</ul></dd></dl>

Arguments

Get Critical Values for Maki Cointegration Test — cv_coint_maki

<dl>

<dt>n</dt>
<dd>Sample size (currently not used as values are asymptotic).</dd>


<dt>m</dt>
<dd>Number of breaks (0-5).</dd>


<dt>model</dt>
<dd>Model specification (0-3):<ul>
<li>0: Level shift</li>
<li>1: Level shift with trend</li>
<li>2: Regime shift</li>
<li>3: Trend and regime shift</li>
</ul></dd>

</dl>

cv_coint_maki: Get Critical Values for Maki Cointegration Test

Description

Usage

Value

Arguments

Examples