I am currently working on a paper on "Cointegration between exports and imports for the Indian economy in the presence of structural breaks". Applying LEE and Strazicich (2003) LM test, the results suggest mixed orders of integration.
Accordingly, I intend to apply either
(a) ARDL Bounds Testing and ECM for Cointegration [Pesaran and Shin, 1995; Pesaran et. al., 2001], or
(b) cointegration with two unknown regime shifts [ Abdulnasser Hatemi-J, 2008]
Can anyone help me how to write program for either of the above two tests?
Best Wishes
JM
ARDL Bounds Test
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