Hi Najibullah-

Perhaps you might be interested in Raven's Eye software. It offers free video tutorials and manual to assist new UX. It offers analysis of text and audio files (that means they do transcription of audio files too!) It analyze data in 65 languages.

Consider checking it out.

https://ravens-eye.net

Najibullah,

why don't you use EViews from Johansen et al. (2000)? You can find the program under http://web.uvic.ca/~dgiles/downloads/johansen/index.html.

There is also an R-code which may of interest for you which you will find in this paper:

http://web.uvic.ca/~dgiles/downloads/working_papers/wpapers.html

EWP1110: "Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values", David E. Giles & Ryan T. Godwin (pdf).

(Forthcoming in Applied Economics Letters.) 

HTH, Karin

Dear Ms. Karin,

Thanks, I probably checked those codes for EVIEW and R, but it is very technical for me and only give p-values. I was indeed searching for an R package to carryout a cointegration test with structural break, if it is available in EVIEWS I will check. However, I found jMulTi having an option for performing a cointegration test with one or two structural breaks.

Najibullah

Hi Najibullah,

You may want to have a look at the AUTOREG procedure in SAS:

http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_autoreg_overview.htm

In the AUTOREG procedure, the MODEL statement might be useful:

http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_autoreg_syntax07.htm

Have a nice day,

Rene

Hi Najibullah-

Perhaps you might be interested in Raven's Eye software. It offers free video tutorials and manual to assist new UX. It offers analysis of text and audio files (that means they do transcription of audio files too!) It analyze data in 65 languages.

Consider checking it out.

https://ravens-eye.net