[R-SIG-Finance] Extension of Johansen Procedure ca.jo
johannes.lips at gmail.com
Fri Oct 16 14:27:23 CEST 2015
I am currently working on an extension of the basic ca.jo() function to
also make it possible to incorporate structural breaks, like in Johansen
et al. (2000). What I basically do is to add a matrix, which
incorporates possible structural breaks in the cointegration vector.
Therefore I added the function paramter break.matrix, which so far takes
the break matrix according to the H_l(r) case of Johansen et al. (2000).
I construct the dummy matrix according to Joyeux (2007) and add them to
the dumvar and the break.matrix parameter of the ca.jo function.
So far it "works", but I am unsure if I made all the adjustments of the
ca.jo function correctly and I would be really glad if someone could
also take a look at the function and see if it does, what it's supposed
I uploaded the function to my github repo at , where I also provide
the code to create the dummy matrix incorporating the possible
structural breaks. Please note, that the creation of the dummy matrix is
also not yet finished and most probably also needs some changes and is
only for the purpose of testing the ca.jomoni() function.
Thanks in advance,
Johansen, Søren, Rocco Mosconi, and Bent Nielsen (2000). “Cointegration
analysis in the presence of structural breaks in the deterministic
trend”. en. In: Econometrics Journal 3.2, pp. 216–249. doi:
10.1111/1368- 423X.00047 (cit. on p. 6).
Joyeux, Roselyne (2007). “How to Deal with Structural Breaks in
Analysis”. English. In: Cointegration for the Applied Economist. Ed. by
B. Bhaskara Rao. 2nd edition. Palgrave Macmillan, p. 256 (cit. on p. 6).
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