Hi

Testing for multiple breaks in the cointegration framewk is unfortunately
for now not possible in R.

For one break, you have a test in the urca/vars package, as well as the
Gregory Hansen Test (I had implemented it so I can send once raw code if
needed).

If you want to implement a test for multiple breaks in cointegration, have a
look at the work of Kejriwal and Perron.

Hope this helps

Mat



2010/1/25 karla hernandez villafuerte <karlavhv142@hotmail.com>

>
>
>
> Dear Members:
>
>
>
> I want to analyse the cointegration rank using the Engle and Granger
> methodology and taking into account the presence of more than one structural
> break in the long run relation.
>
> I can not find how to do that using R. If some one have a suggestion I
> would be very glad.
>
>
>
> Thank you!
>
>
>
> Karla H.
>
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