Just as an information for those who are interested in it:
I ran the same model in JMulti (2 breaks and allowing for breaks in
levels and trend jointly) and do obtain exactly the same results as
before using gretl. So I guess the script does its job correctly.
Am 28.11.2013 12:03, schrieb Artur T.:
I am trying to replicate the example in Johansen et al. (2000) paper
"Cointegration analysis in the presence of structural breaks in the
deterministic trend" (Econometrics Journal)
I attached a zip-file with the data and a hansl-script:
The issue is with the rank-test (table 8 in the paper), actually with
the trace test statistics (I know that the p-values have to be
calculated separately e.g. by using Jack's script
I do not obtain the same results as in the paper, so I am wondering
whether it is due to the setup of the break dummies or a software issue.
Maybe somebody here in the has already dealt with this model in more
detail and could give me a hint what's wrong here. The model I want to
apply is called H_l with 2 breaks (3 regimes) as in the paper.