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!
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