Dear Rajan Parajuli,

JMulti econometric software has built-in the Johansen et al. 2000 test. Gretl  has built-in the Hansen and Johansen (1999) methodology of identifying structural breaks in the cointegrating relationship.

Best,

Oana

http://www.jmulti.de/

http://gretl.sourceforge.net/

Dear Rajan Parajuli,

JMulti econometric software has built-in the Johansen et al. 2000 test. Gretl  has built-in the Hansen and Johansen (1999) methodology of identifying structural breaks in the cointegrating relationship.

Best,

Oana

http://www.jmulti.de/

http://gretl.sourceforge.net/

Thank you Oana. It certainly helps me. Appreciated

Hi Rajan,

I agree with Oana. If you want more guidance and examples on using Gretl for time-series analysis, please make a request of my working paper on RG:

https://www.researchgate.net/publication/269701303_Comprehensive_Time-Series_Regression_Models_Using_GretlU.S._GDP_and_Government_Consumption_Expenditures__Gross_Investment_from_1980_to_2013

or read here:

http://ssrn.com/abstract=2540535

Best regards,

Richard

Article Comprehensive Time-Series Regression Models Using Gretl—U.S....

Thank you Juehui for information. I just requested. Could you please send me that paper. Thank you.

Juehui, Could you please send me your Gretl code. Your help would be much appreciated. Thank you

They are included in the paper, though Gretl has great user interface therefore you won't need much of coding.

GAUSS is the one but it might be expensive if you do not have it. There are some other backed codes are selling related to it like (OxMetrics Software). Some one who build a Matlab code for this part f modeling can provide it to you

Good luck

You can also use R

http://cran.r-project.org/web/packages/urca/urca.pdf

You can use R language. Maybe the vars package can be helpful.

I believe that RATS and its related software, CATS, perform this test.

check this site www.jmulti.de and the paper for answer to your question.

Eviews 6 can do the job better but it is a commercial package. JMulti is a free package and would be an alternative choice!

Hello John,  I have access to Eviews software. Could you tell me how can I do this test in Eviews? Any paper/article which used eviews for conducting this test?? Thank you in acvance. Rajan

There is an add-in for Gregory-Hansen's test also in Eviews.

Oana is right !!!

JMulti and Gretl !! Both are promising options!!!

As for myself, I prefer Gretl.