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COINTEGRATION TESTS WITH BREAKS

So far, the multivariate unit root test that has been covered assumed that there is no break in the data. However, in many practical data, the breaks can either be endogenous or exoegnous. This course will trace the evolution of the modelling of the multivariate unit root test which has strcutural breaks. This course, however, is very academic and highly mathematical in nature.

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The dropbox folder contains exercises, research papers and industry cases that will be covered in linear regression.

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              is a coding software for statistical computing.                          Download here.

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                is a free, open-source, software.

                  Download here.

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I have a blog titled review of different softwre packages. 

Module 0:  An Introduction to Multivariate Stationary Test With Breaks

Module 1:  One Endogenous Structural Break on the Cointegration Test

Module 2:  One Endogenous Structural Break on the Cointegration Test

Module 3:  One Endogenous Structural Break on the Cointegration Test

Module 4:  One Endogenous Structural Break on the Cointegration Test

Module 5:  One Endogenous Structural Break on the Cointegration Test

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