The RATS Software Forum

Hello There, I am looking for code of cointegration with a structural break test proposed by Arai and Kurozumi "Testing for the Null Hypothesis of Cointegration with a Structural Break" Yoichi Arai and Eiji Kurozumi (kurozumi@stat.hit-u.ac.jp) Econometric Reviews, 2007, vol. 26, issue 6, 7...

Sorry Tom,

I am a confused.
Do you mean the Gregory and Hansen is test for break in a cointegrated system?

Regards
Elham

Thank you Tom, How about the Gregory and Hanseon test "Residual-based tests for cointegration in models with regime shifts" Journal of Econometrics, 1996, vol. 70, issue 1, 99-126? This test seems test for cointegration and break together. Please correct me if I am wrong. And do you have a...

Thank you Tom,

Is there a test to test for contegration and structural break at the same time?

Thank you very much Tom, I think the way I mentioned my questions was a bit vague. What I am asking is: All I want to show is that y and x are not cointegrated (I am no looking for modelling y and x). y and x were tested for cointegration using the ARDL model (with multiple lags of of y and x) propo...

Hello Tom, The series I am working with are not cointegrated. I have use the ARDL test (Pesaran, MH, Shin, Y & Smith, RJ 2001, 'Bounds Testing Approaches to the Analysis of Level Relationships', Journal of Applied Econometrics, vol. 16, no. 3, pp. 289-326). As fa as I understand this test is for...

Hello Tom, Would you please advise me whether lagged dependent and independent variables can be inserted in the model using Kejriwal, Mohitosh & Perron, Pierre, 2010. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Journal of Business & Economic Statist...

Hello Tom, Thanks for all your support. Would you please advise me whether the test proposed by Kejriwal and Perron {Kejriwal, Mohitosh & Perron, Pierre, 2010. "Testing for Multiple Structural Changes in Cointegrated Regression Models," Journal of Business & Economic Statistics, Am...

Hello There,

Would you please advise me whether there is RATS code for the following paper:

Arai, Y., and E. Kurozumi. (2007), “Testing for the Null Hypothesis of Cointegration With a Structural Break”, Econometric Reviews, 26 (6), 2007, 705-739.

Regards
Eli

Thanks Tom,
Yes I am not sure about pb, pf, qb and qf. I do understand that this test (K&P) is not for individual variables.
Have read the recommended pages.
So please explain what pb, pf, qb and qf are.

Hello Tom, I am confused. Would you please correct me if I am wrong. I used Lee and Srazicich unit root test. Out of 5 independent variables, 3 of them are I(1) with breaks and two of them are I(0) with breaks. Now if I want to use Kejriwal and Perron co-integration test I have three qb and 2 pb. Am...

Hello Tom,

Thank you for the clarification. Yes. I understand that the Bai and Perron is for break in relationship.
I tested the series for breaks using Lee and Strazicich.

Thanks again.

Hello Tom, I am trying to run test: Kejriwal and Perron "Testing for Multiple Structural Changes in Cointegrated Regression Models" Journal of Business and Economic Statistics 28(4):503-522, I have three I(1) and two I(0) time series that all include at least one break in trend. I am using...

Hello Tom, A quick question. Is the test proposed by Kejriwal and Perron "Testing for Multiple Structural Changes in Cointegrated Regression Models" Journal of Business and Economic Statistics 28(4):503-522 robust for a model suffers from heteroskedasticity and serial correlation? Thank yo...

Hello Tom,

I am not very clear what is the difference between @BaiPerron and @multiplebreaks codes.
Would you please advise about it?

Regards
Elham