makicoint: Maki Cointegration Test with Multiple Structural Breaks
Implements the Maki (2012) <doi:10.1016/j.econmod.2012.04.022>
residual-based test for cointegration allowing for an unknown number of
structural breaks. Breaks are located by a sequential procedure and the
cointegrating residual is tested for a unit root with an augmented
Dickey-Fuller (ADF) regression; the test statistic is the minimum ADF
t-statistic over all candidate breaks. Four model specifications are
supported (level shift, level shift with trend, regime shift, and regime
shift with trend) and one to four regressors. The default engine reproduces
the original 'GAUSS' / 'tspdlib' implementation, with an optional break rule
following Maki (2012, Steps 2 and 4). The test runs for any feasible number
of breaks; beyond the five tabulated by Maki, critical values can be
simulated by his Monte-Carlo design. A two-panel diagnostic plot is provided
via 'ggplot2'.
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