Friday, November 4, 2011

Cointegration, Structural Breaks, and gretl

In a post in May I discussed testing for cointegration in the presence of structural breaks, and provided some EViews code to facilitate this. I then followed that up with another post in June that provided corresponding R code and a set of tables, both produced with Ryan Godwin.

Riccardo (Jack) Lucchetti, co-author of the (free) gretl econometrics package converted our code into gretl script, and kindly sent it me. Passing the script on to eveyone is long overdue - sorry about the delay, Jack!

One thing to watch - you need to be running gretl -1.9.6 for the script to run properly.

The script file is available to you on the code page for this blog, and here is the output you should get for the test run:



   

Thanks again, Jack!


© 2011, David E. Giles

2 comments:

  1. Dear Professor Dave,

    Is it possible for you to demonstrate with an example of three or four variables how to test for cointegration using the ARDL approach of
    “Pesaran M., Shin Y., Smith R. (2001). Bound testing approaches to the analysis of level relationship. Journal of Applied Economics 16: 289-326.”

    Thank you
    Sala

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    Replies
    1. Sala: I have plans for a couple of posts on this in the near future.

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