Testing for multivariate cointegration in the presence of structural breaks:p-values and critical values

Testing for multivariate cointegration when the data exhibit structural breaks is a problem that is encountered frequently in empirical economic analysis. The standard tests must be modified in this situation, and the asymptotic distributions of the test statistics change accordingly. We supply code that allows practitioners to easily calculate both p-values and critical values for the trace tests of Johansen et al. (2000 Johansen, S., Mosconi, R. and Nielsen, B. 2000. Cointegration analysis in the presence of structural breaks in the deterministic trend. Econometrics Journal, 3: 216–49. [Crossref] , [Google Scholar]). Access is also provided to tables of critical values for a broad selection of situations.