hatemicoint (Q7368882)
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Hatemi-J Cointegration Test with Two Unknown Regime Shifts
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | hatemicoint |
Hatemi-J Cointegration Test with Two Unknown Regime Shifts |
Statements
Implements the Hatemi-J (2008) cointegration test which allows for two unknown structural breaks (regime shifts) in the cointegrating relationship. The test provides three test statistics: ADF* (Augmented Dickey-Fuller), Zt* (Phillips-Perron Z_t), and Za* (Phillips-Perron Z_alpha), along with endogenously determined break dates. Critical values are based on simulations from Hatemi-J (2008) <doi:10.1007/s00181-007-0175-9>. The long-run variance in the Phillips statistics is estimated by default with a prewhitened quadratic spectral kernel and the automatic bandwidth of Andrews (1991) <doi:10.2307/2938229>, following Andrews and Monahan (1992) <doi:10.2307/2951574>.
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1 October 2026
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