Testing cointegration with two unknown regime shifts

[IVY2009]

Hi,

I would like to test cointegration with two unknow regime shifts, as Abdulnasser Hatemi-J(2008) "Testing cointegration with two unknown regime shifts with an application to financial market integration". RATS has the source for Gregoryhansen tests which allows for one unknown regime shift. Is there anyone know how to test cointegration with two structural breaks?

By the way, my sample size is quite small (annual data 1960-2007). I am not sure how to decide the number of breaks. Please give me some advice.

Thanks a lot!

Regards
Ivy