mbreak2

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

mbreak2: Detect Two Structural Breaks

Description

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