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HATEMICOINT: Stata module to implement cointegration tests with two unknown regime shifts following the methodology of Hatemi-J (2008)

Author

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  • Merwan Roudane

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Abstract

The hatemicoint package implements three residual-based tests for cointegration in the presence of two unknown structural breaks. The methodology extends the Gregory and Hansen (1996) framework to accommodate two regime shifts, where both the timing and location of the breaks are determined endogenously from the data.

Suggested Citation

  • Merwan Roudane, 2026. "HATEMICOINT: Stata module to implement cointegration tests with two unknown regime shifts following the methodology of Hatemi-J (2008)," Statistical Software Components S459586, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459586
    Note: This module should be installed from within Stata by typing "ssc install hatemicoint". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/h/hatemicoint.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/h/hatemicoint.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/h/hatemicoint_examples.do
    File Function: sample do-file
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