I' am working on some cointegration analysis, and would like to run some stability analysis for VECM models.
In the past I've done some of this stuff using JMulti or CATS (RATS), but I am wondering whether somebody here in the list has already programmed up some stuff like for instance the recursive eigenvalues test proposed by Hansen and Johansen (1999) for gretl.
Alternatively, maybe somebody has a MATLAB or GAUSS code for running similar tests. Then it shouldn't be big problem to adapt a gretl version of it for me. Unfortunately, I always found JMulti's GAUSS code a bit messy to translate it in appropriate time.
I already found some gretl code written by Jack for computing Johansen et al. (2000) modified Trace tests for cointegration in the presence of structural breaks, which is a nice thing. But as I don't know the break point ex ante, a test for an unknown break point is more helpful in my case.
May be somebody of you has some first code or other suggestions.
Thanks in advance.