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N`|O)R¸ïï2€xÿÿ7Bèè€2€xÿÿ76‚zCOMPUTATION OF ASYMPTOTIC CRITICAL VALUES AND P-VALUES FOR THE H(c) and H(L) JOHANSEN COINTEGRATION TESTS WHEN THERE ARE 2 or 3 STRUCTURAL BREAKS
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These ASYMPTOTIC critical values are for the appropriately modified TRACE TEST against the H(L) or H(c) alternatives, proposed by Johansen et al. (2000), and described in detail by Joyeux (2007).
The critical values computed here are only for the cases of no structural breaks (a single regime: q=1); a single structural break (2 regimes: q = 2); or 2 breaks (3 regimes: q=3)
The user needs to assign the values to "q" - the number of regimes arising from the structural breaks.
If q=2 then there is one structural break, and the value needs to be set for V1: the proportion of the way through the sample where the break occurs (any value assigned to V2 is ignored in this case).
If q=3, there are two structural breaks, and the values need to be set for V1 and V2: the proportions of the way through the sample where the breaks occur.
If q=1 the values of V1 and V2 are ignored. (There are no structural breaks.)
10%, 5% and 1% ASYMPTOTIC critical values are provided for values of (p-r) ranging from 1 to 10, for each of the HL(r) and Hc(r) tests.
If the user supplies a calculated (non-zero) value for one or both of the HL(r) ot Hc(r) test statistics, then the associated asymptotic p-values are computed and displayed.
FOR DETAILS OF THE MODIFICATIONS THAT NEED TO BE MADE TO THE USUAL JOHANSEN TESTING SET-UP, SEE JOHANSEN ET AL. (2000), AND JOYEUX (2007). ESSENTIALLY, VARIOUS DUMMY VARIABLES HAVE TO BE CREATED AND ADDED AS EXOGENOUS VARIABLES INTO THE VAR MODELS. THIS IS EASILY ACHIEVED IN EVIEWS.
References:
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Johansen, S., R. Mosconi and B. Nielsen (2000), "Cointegration analysis in the presence of structural breaks in the deterministic trend", Econometrics Journal, 3, 216-249
Joyeux, R. (2007), "How to deal with structural breaks in practical
cointegration analysis", in B. Bhaskara Rao (ed.), Cointegration for the Applied Economists, (2nd. ed.), Palgrave Macmillan, New York, 195-221.
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