Please email me directly at [email protected]. I can provide with the Maki cointegration code and would be happy to assist you with setting up the code.
You may also want to check out our latest blog on cointegration, "A Guide to Conducting Cointegration Testing in GAUSS" available at https://www.aptech.com/blog/a-guide-to-conducting-cointegration-tests/ .
For all looking for the Maki cointegration test allowing for an unknown number of breaks, please note that the procedure has been added to the GAUSS tspdlib library.
The tspdlib library is an open-source GAUSS library with extensive unit root, cointegration and causality tests. You can find more about the library, including download and installation instructions, on the package GitHub README
If you need help getting quickly started with the Maki cointegration test in GAUSS you may want to check out our new how-to video. It provides clear steps which will have you up and running in no time.