opttlag

Determines the optimal lag length using the t-significance criterion
with a maximum lag of 12.

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

opttlag function

<dl><dt>e</dt>
<dd>Numeric vector of residuals.</dd></dl>

Arguments

Determine Optimal Lag Using t-sig Criterion — opttlag

<dl>

<dt>e</dt>
<dd>Numeric vector of residuals.</dd>

</dl>

opttlag: Determine Optimal Lag Using t-sig Criterion

Description

Usage

Value

Arguments