
Hi!
 
I have taken your recomendation and I am trying to apply the methodology suggested by Kejriwal and Perron in the paper "Testing for Multiple Structural Changes in Cointegrated Regression Models". I think that if I use the "strucchange" package and the function "breakpoints", I will get the break points and dates with the same methodology described in the paper. 
 
In order to prove if the number of breaks found by the "breakpoint" function is significant I want to apply the sup-Wald test. I am not sure if a normal supWald test is correct of if I need to implement some kind of modifications. In my case all the coefficients are allowed to change. I send you the program that I am using.
 
> ##BREAKS POINTS CALCULATION
> 
> lrun

YX[, 1] ~ YX[, 2] + dattowork[, 1] + 0
> 
> #Empirical Fluctuation process
> flproc <- efp(lrun, type = "RE")
> print(sctest(flproc))
 
        RE test (recursive estimates test)
data:  flproc 
RE = 3.6801, p-value = 6.893e-12
 
> #Bai and Perron 
> breaks<-breakpoints(lrun, h = 0.15, breaks = 3, hpc = c("none"))
> print(breaks)
         Optimal 4-segment partition: 
Call:
breakpoints.formula(formula = lrun, h = 0.15, breaks = 3, hpc = c("none"))
Breakpoints at observation number:
54 127 155 
Corresponding to breakdates:
1994(7) 2000(8) 2002(12) 

> dummy<-ts(rep(1,length(YXSR[,1])),start=startlag,frequency=12)
> dummy1<-dummy; dummy1[breaks$breakpoints[1]:(breaks$breakpoints[2]-1)]<-0
> dummy2<-dummy; dummy2[breaks$breakpoints[2]:(breaks$breakpoints[3]-1)]<-0
> lrunbreak<-update.formula(lrun, . ~ . + dummy1 + dummy2)
> longrbreak<-dyn$lm(lrunbreak)

> Waldt<-wald.test(vcov(longrbreak), longrbreak$coefficients, Terms=3:4)
> print(Waldt)
Wald test:
----------
Chi-squared test:
X2 = 28.0, df = 2, P(> X2) = 8.2e-07

 
In advance thank you for your help!,
 
 
Karla Hernández
 
 
 
 
 
 
 

 


Date: Wed, 27 Jan 2010 15:08:05 +0100
Subject: Re: [R-SIG-Finance] Cointegration, more than one structural break
From: matthieu.stigler@gmail.com
To: karlavhv142@hotmail.com
CC: r-sig-finance@stat.math.ethz.ch

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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