mbreak1

Internal function to detect one structural break in the cointegration relationship.

internal

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

mbreak1 function

<dl><dt>datap</dt>
<dd>Data matrix with dependent variable in first column.</dd>
<dt>n</dt>
<dd>Sample size.</dd>
<dt>model</dt>
<dd>Model specification (0-3).</dd>
<dt>tb</dt>
<dd>Trimming parameter (number of observations).</dd>
<dt>lagoption</dt>
<dd>Lag selection option (0 or 1).</dd></dl>

Arguments

Detect One Structural Break — mbreak1

<dl>

<dt>datap</dt>
<dd>Data matrix with dependent variable in first column.</dd>


<dt>n</dt>
<dd>Sample size.</dd>


<dt>model</dt>
<dd>Model specification (0-3).</dd>


<dt>tb</dt>
<dd>Trimming parameter (number of observations).</dd>


<dt>lagoption</dt>
<dd>Lag selection option (0 or 1).</dd>

</dl>

mbreak1: Detect One Structural Break

Description

Usage

Value

Arguments