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MAKI: Stata module to implement Maki (2012) cointegration test with unknown number of breaks

Author

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  • Ozan Eruygur

    (Ankara Haci Bayram Veli University)

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Abstract

maki implements the Maki (2012) test for cointegration allowing for up to five unknown structural breaks. Four specifications are supported (level shift, level shift with trend, regime shift, and regime shift with trend), with critical values from Maki (2012) for up to four regressors. Four ADF lag-selection rules are available (no augmentation, a downward-t significance rule, a Breusch-Godfrey test based selection, and a fixed lag). The code estimates the cointegrating regression, and the required dummy variables are automatically generated and added to the dataset. maki is a Stata/Mata port of the original Gauss procedure coint_maki, which was provided by Daiki Maki himself, modified by Jason Jones (Aptech Systems), and distributed in the TSPDLIB library of Saban Nazlioglu. The package was validated against this Gauss procedure.

Suggested Citation

  • Ozan Eruygur, 2026. "MAKI: Stata module to implement Maki (2012) cointegration test with unknown number of breaks," Statistical Software Components S459770, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459770
    Note: This module should be installed from within Stata by typing "ssc install maki". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/m/maki.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/m/maki.sthlp
    File Function: help file
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