Hi Tom,
Is it possible to run panel cointegration tests with structural break as in Banerjee and Carrion-i-Silvestre (2015), Westerlund (2006) and Westerlund and Edgerton (2008) ?
The Gause codes for these tests are available in the personal pages of Carrion-i-Silvestre and Westerlund personal page:
https://sites.google.com/site/perjoakim ... auss-codes
http://www.eco.ub.es/~carrion/Welcome.html
References:
Banerjee, A. and Carrion-i-Silvestre, J. Ll. (2015): “Cointegration in panel data with structural breaks and cross-section dependence”, Journal of Applied Econometrics, 30, 1, 1-23.
Westerlund, J. (2006), Testing for Panel Cointegration with Multiple Structural Breaks*. Oxford Bulletin of Economics and Statistics, 68: 101–132. doi:10.1111/j.1468-0084.2006.00154.x
Westerlund, J. and Edgerton, D. L. (2008), A Simple Test for Cointegration in Dependent Panels with Structural Breaks*. Oxford Bulletin of Economics and Statistics, 70: 665–704. doi:10.1111/j.1468-0084.2008.00513.x