st: Gregory and Hansen Cointegration with Break Tests

From	Gareth Campbell <[email protected]>
To	[email protected]
Subject	st: Gregory and Hansen Cointegration with Break Tests
Date	06 May 2008 14:43:32 +0100

I am interested in testing for cointegration between two variables with a structural break, using the methodology of Gregory and Hansen (1996) "Residual-based tests for cointegration in models with regime shifts."

The code for this test is available for Matlab and Gauss at http://www.ssc.wisc.edu/~bhansen/progs/joe_96.html

Does anyone know if the test is also available for STATA?

Thanks,
Gareth
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