cointegration with 2 structural breaks

[chiade]

Hi,

I am trying to incorporate a cointegration wih 2 structural breaks. I managed to utilize gregory-hansen to test conintegration in presence of 1 structural break. How do i do test cointegration with 2 structural breaks? is there a procedure for it? Pls advise.

Many thanks once again for your prompt replies.

Des

[TomDoan]

The number crunching in Kejriwal and Perron(2010), "Testing for Multiple Structural Changes in Cointegrated Regression Models", Journal of Business and Economic Statistics, vol 28, no 4, 503-522 can be done with the existing BaiPerron procedure. What the paper does is to analyze the behavior of the test statistics when applied to cointegrated models.

I didn't notice a paper which extended Gregory and Hansen to multiple breaks, but there is no conceptional reason it couldn't be done. The general procedure for searching for multiple breaks on page 347 of the RATS v8 User's Guide can be used for that.