Internal procedure function that orchestrates the break detection process.

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

pf function

<dl><dt>y</dt>
<dd>Matrix or data frame with dependent variable in first column.</dd>
<dt>m</dt>
<dd>Maximum number of breaks (0-5).</dd>
<dt>model</dt>
<dd>Model specification (0-3).</dd>
<dt>trimm</dt>
<dd>Trimming parameter (default 0.15).</dd>
<dt>lagoption</dt>
<dd>Lag selection option (0=no lags, 1=optimal lags).</dd></dl>

Arguments

Main Procedure for Maki Cointegration Test — pf

<dl>

<dt>y</dt>
<dd>Matrix or data frame with dependent variable in first column.</dd>


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


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


<dt>trimm</dt>
<dd>Trimming parameter (default 0.15).</dd>


<dt>lagoption</dt>
<dd>Lag selection option (0=no lags, 1=optimal lags).</dd>

</dl>

pf: Main Procedure for Maki Cointegration Test

Description

Usage

Value

Arguments