Thanks to Christopher Baum, package -ghansen- has been uploaded to SSC.
To install, write -ssc install ghansen-
ghansen: Stata module to perform Gregory-Hansen test for cointegration
with regime shifts.
-ghansen- performs the Gregory-Hansen test for cointegration with
regime shifts (structural breaks) proposed in Gregory and Hansen
(1996). The test's null hypothesis is no cointegration against the
alternative of cointegration with a single shift at an unknown point
in time.
ghansen makes use of Mata and requires Stata 9.2.
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Jorge Eduardo Pérez Pérez
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